7 results
Search Results
Now showing 1 - 7 of 7
- ItemAn adaptive multi level Monte-Carlo method with stochastic bounds for quantities of interest in groundwater flow with uncertain data(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2015) Eigel, Martin; Merdon, Christian; Neumann, JohannesThe focus of this work is the introduction of some computable a posteriori error control to the popular multilevel Monte Carlo sampling for PDE with stochastic data. We are especially interested in applications in the geosciences such as groundwater flow with rather rough stochastic fields for the conductive permeability. With a spatial discretisation based on finite elements, a goal functional is defined which encodes the quantity of interest. The devised goal-oriented error estimator enables to determine guaranteed a posteriori error bounds for this quantity. In particular, it allows for the adaptive refinement of the mesh hierarchy used in the multilevel Monte Carlo simulation. In addition to controlling the deterministic error, we also suggest how to treat the stochastic error in probability. Numerical experiments illustrate the performance of the presented adaptive algorithm for a posteriori error control in multilevel Monte Carlo methods. These include a localised goal with problem-adapted meshes and a slit domain example. The latter demonstrates the refinement of regions with low solution regularity based on an inexpensive explicit error estimator in the multilevel algorithm.
- ItemStochastic topology optimisation with hierarchical tensor reconstruction(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Eigel, Martin; Neumann, Johannes; Schneider, Reinhold; Wolf, SebastianA novel approach for risk-averse structural topology optimization under uncertainties is presented which takes into account random material properties and random forces. For the distribution of material, a phase field approach is employed which allows for arbitrary topological changes during optimization. The state equation is assumed to be a high-dimensional PDE parametrized in a (finite) set of random variables. For the examined case, linearized elasticity with a parametric elasticity tensor is used. Instead of an optimization with respect to the expectation of the involved random fields, for practical purposes it is important to design structures which are also robust in case of events that are not the most frequent. As a common risk-aware measure, the Conditional Value at Risk (CVaR) is used in the cost functional during the minimization procedure. Since the treatment of such high-dimensional problems is a numerically challenging task, a representation in the modern hierarchical tensor train format is proposed. In order to obtain this highly efficient representation of the solution of the random state equation, a tensor completion algorithm is employed which only required the pointwise evaluation of solution realizations. The new method is illustrated with numerical examples and compared with a classical Monte Carlo sampling approach.
- ItemSDE based regression for random PDEs(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2015) Anker, Felix; Bayer, Christian; Eigel, Martin; Ladkau, Marcel; Neumann, Johannes; Schoenmakers, John G.M.A simulation based method for the numerical solution of PDE with random coefficients is presented. By the Feynman-Kac formula, the solution can be represented as conditional expectation of a functional of a corresponding stochastic differential equation driven by independent noise. A time discretization of the SDE for a set of points in the domain and a subsequent Monte Carlo regression lead to an approximation of the global solution of the random PDE. We provide an initial error and complexity analysis of the proposed method along with numerical examples illustrating its behaviour.
- ItemNon-intrusive tensor reconstruction for high dimensional random PDEs(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2017) Eigel, Martin; Neumann, Johannes; Schneider, Reinhold; Wolf, SebastianThis paper examines a completely non-intrusive, sample-based method for the computation of functional low-rank solutions of high dimensional parametric random PDEs which have become an area of intensive research in Uncertainty Quantification (UQ). In order to obtain a generalized polynomial chaos representation of the approximate stochastic solution, a novel black-box rank-adapted tensor reconstruction procedure is proposed. The performance of the described approach is illustrated with several numerical examples and compared to Monte Carlo sampling.
- ItemA fully adaptive interpolated stochastic sampling method for random PDEs(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2015) Anker, Felix; Bayer, Christian; Eigel, Martin; Neumann, Johannes; Schoenmakers, JohnA numerical method for the fully adaptive sampling and interpolation of PDE with random data is presented. It is based on the idea that the solution of the PDE with stochastic data can be represented as conditional expectation of a functional of a corresponding stochastic differential equation (SDE). The physical domain is decomposed subject to a non-uniform grid and a classical Euler scheme is employed to approximately solve the SDE at grid vertices. Interpolation with a conforming finite element basis is employed to reconstruct a global solution of the problem. An a posteriori error estimator is introduced which provides a measure of the different error contributions. This facilitates the formulation of an adaptive algorithm to control the overall error by either reducing the stochastic error by locally evaluating more samples, or the approximation error by locally refining the underlying mesh. Numerical examples illustrate the performance of the presented novel method.
- ItemAspects of quaranteed error control in CPDEs(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013) Carstensen, Carsten; Merdon, Christian; Neumann, JohannesWhenever numerical algorithms are employed for a reliable computational forecast, they need to allow for an error control in the final quantity of interest. The discretisation error control is of some particular importance in computational PDEs (CPDEs) where guaranteed upper error bounds (GUB) are of vital relevance. After a quick overview over energy norm error control in second-order elliptic PDEs, this paper focuses on three particular aspects. First, the variational crimes from a nonconforming finite element discretisation and guaranteed error bounds in the discrete norm with improved postprocessing of the GUB. Second, the reliable approximation of the discretisation error on curved boundaries and, finally, the reliable bounds of the error with respect to some goal-functional, namely, the error in the approximation of the directional derivative at a given point
- ItemNew insights on the interfacial tension of electrochemical interfaces and the Lippmann equation(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2015) Dreyer, Wolfgang; Guhlke, Clemens; Landstorfer, Manuel; Neumann, Johannes; Müller, RüdigerThe Lippmann equation is considered as universal relationship between interfacial tension, double layer charge, and cell potential. Based on the framework of continuum thermo-electrodynamics we provide some crucial new insights to this relation. In a previous work we have derived a general thermodynamic consistent model for electrochemical interfaces, which showed a remarkable agreement to single crystal experimental data. Here we apply the model to a curved liquid metal electrode. If the electrode radius is large compared to the Debye length, we apply asymptotic analysis methods and obtain the Lippmann equation. We give precise definitions of the involved quantities and show that the interfacial tension of the Lippmann equation is composed of the surface tension of our general model, and contributions arising from the adjacent space charge layers. This finding is confirmed by a comparison of our model to experimental data of several mercury-electrolyte interfaces. We obtain qualitative and quantitative agreement in the 2V potential range for various salt concentrations. We also discuss the validity of our asymptotic model when the electrode radius is comparable to the Debye length.