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Published January 20, 2015 | Published
Journal Article Open

A Multiscale Data-Driven Stochastic Method for Elliptic PDEs with Random Coefficients


In this paper, we propose a multiscale data-driven stochastic method (MsDSM) to study stochastic partial differential equations (SPDEs) in the multiquery setting. This method combines the advantages of the recently developed multiscale model reduction method [M. L. Ci, T. Y. Hou, and Z. Shi, ESAIM Math. Model. Numer. Anal., 48 (2014), pp. 449--474] and the data-driven stochastic method (DSM) [M. L. Cheng et al., SIAM/ASA J. Uncertain. Quantif., 1 (2013), pp. 452--493]. Our method consists of offline and online stages. In the offline stage, we decompose the harmonic coordinate into a smooth part and a highly oscillatory part so that the smooth part is invertible and the highly oscillatory part is small. Based on the Karhunen--Loève (KL) expansion of the smooth parts and oscillatory parts of the harmonic coordinates, we can derive an effective stochastic equation that can be well-resolved on a coarse grid. We then apply the DSM to the effective stochastic equation to construct a data-driven stochastic basis under which the stochastic solutions enjoy a compact representation for a broad range of forcing functions. In the online stage, we expand the SPDE solution using the data-driven stochastic basis and solve a small number of coupled deterministic partial differential equations (PDEs) to obtain the expansion coefficients. The MsDSM reduces both the stochastic and the physical dimensions of the solution. We have performed complexity analysis which shows that the MsDSM offers considerable savings over not only traditional methods but also DSM in solving multiscale SPDEs. Numerical results are presented to demonstrate the accuracy and efficiency of the proposed method for several multiscale stochastic problems without scale separation.

Additional Information

© 2015 SIAM. Received by the editors December 9, 2013; accepted for publication (in revised form) October 28, 2014; published electronically January 20, 2015. This work was supported in part by AFOSR MURI grant FA9550-09-1-0613, DOE grant DE-FG02-06ER25727, and NSF grants DMS-1159138 and DMS-1318377. We thank Sydney Garstang for proofreading the manuscript.

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August 20, 2023
August 20, 2023