FoCM 2014 conference

Workshop C6 - Stochastic Computation

December 19, 15:00 ~ 15:30 - Room A12

A multilevel stochastic collocation method for PDEs with random inputs

Aretha Teckentrup

University of Warwick, United Kingdom   -

By employing a hierarchy of both spatial approximations and interpolation operators in stochastic parameter space, we develop a multilevel version of stochastic collocation methods for random partial differential equations, leading to a significant reduction in computational cost. We provide a convergence and cost analysis of the new algorithm, and demonstrate the gains possible on a typical random diffusion model problem.

Joint work with Max Gunzburger (Florida State University, USA), Peter Jantsch (University of Tennessee, USA) and Clayton Webster (Oak Ridge National Laboratory, USA).

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