A dynamically bi-orthogonal method for time-dependent stochastic partial differential equations II: Adaptivity and generalizations
This is part II of our paper in which we propose and develop a dynamically bi-orthogonal method (DyBO) to study a class of time-dependent stochastic partial differential equations (SPDEs) whose solutions enjoy a low-dimensional structure. In part I of our paper , we derived the DyBO formulation and proposed numerical algorithms based on this formulation. Some important theoretical results regarding consistency and bi-orthogonality preservation were also established in the first part along with a range of numerical examples to illustrate the effectiveness of the DyBO method. In this paper, we focus on the computational complexity analysis and develop an effective adaptivity strategy to add or remove modes dynamically. Our complexity analysis shows that the ratio of computational complexities between the DyBO method and a generalized polynomial chaos method (gPC) is roughly of order O((m/N_p)^3) for a quadratic nonlinear SPDE, where m is the number of mode pairs used in the DyBO method and N_p is the number of elements in the polynomial basis in gPC. The effective dimensions of the stochastic solutions have been found to be small in many applications, so we can expect m is much smaller than N_p and computational savings of our DyBO method against gPC are dramatic. The adaptive strategy plays an essential role for the DyBO method to be effective in solving some challenging problems. Another important contribution of this paper is the generalization of the DyBO formulation for a system of time-dependent SPDEs. Several numerical examples are provided to demonstrate the effectiveness of our method, including the Navier–Stokes equations and the Boussinesq approximation with Brownian forcing.
© 2013 Elsevier Inc. Received 31 October 2012. Received in revised form 12 January 2013. Accepted 8 February 2013. Available online 28 February 2013. This work was supported in part by AFOSR MURI Grant FA9550-09-1-0613, a DOE Grant DE-FG02-06ER25727 and a NSF Grant DMS-0908546.