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• W3135178051 abstract "Abstract Stochastic partial differential equation (PDE) eigenvalue problems (EVPs) often arise in the field of uncertainty quantification, whereby one seeks to quantify the uncertainty in an eigenvalue, or its eigenfunction. In this paper, we present an efficient multilevel quasi-Monte Carlo (MLQMC) algorithm for computing the expectation of the smallest eigenvalue of an elliptic EVP with stochastic coefficients. Each sample evaluation requires the solution of a PDE EVP, and so tackling this problem in practice is notoriously computationally difficult. We speed up the approximation of this expectation in four ways: we use a multilevel variance reduction scheme to spread the work over a hierarchy of FE meshes and truncation dimensions; we use QMC methods to efficiently compute the expectations on each level; we exploit the smoothness in parameter space and reuse the eigenvector from a nearby QMC point to reduce the number of iterations of the eigensolver; and we utilize a two-grid discretization scheme to obtain the eigenvalue on the fine mesh with a single linear solve. The full error analysis of a basic MLQMC algorithm is given in the companion paper (Gilbert, A. D. & Scheichl, R. (2023) Multilevel quasi-Monte Carlo methods for random elliptic eigenvalue problems I: regularity and analysis. IMA J. Numer. Anal.), and so, in this paper, we focus on how to further improve the efficiency and provide theoretical justification for using nearby QMC points and two-grid methods. Numerical results are presented that show the efficiency of our algorithm, and also show that the four strategies we employ are complementary." @default.
• W3135178051 created "2021-03-15" @default.
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• W3135178051 date "2023-05-18" @default.
• W3135178051 modified "2023-09-26" @default.
• W3135178051 title "Multilevel quasi-Monte Carlo for random elliptic eigenvalue problems II: efficient algorithms and numerical results" @default.
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• W3135178051 doi "https://doi.org/10.1093/imanum/drad009" @default.
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