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  • 1
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: Numerical methods for random parametric PDEs can greatly benefit from adaptive refinement schemes, in particular when functional approximations are computed as in stochastic Galerkin and stochastic collocations methods. This work is concerned with a non-intrusive generalization of the adaptive Galerkin FEM with residual based error estimation. It combines the non-intrusive character of a randomized least-squares method with the a posteriori error analysis of stochastic Galerkin methods. The proposed approach uses the Variational Monte Carlo method to obtain a quasi-optimal low-rank approximation of the Galerkin projection in a highly efficient hierarchical tensor format. We derive an adaptive refinement algorithm which is steered by a reliable error estimator. Opposite to stochastic Galerkin methods, the approach is easily applicable to a wide range of problems, enabling a fully automated adjustment of all discretization parameters. Benchmark examples with affine and (unbounded) lognormal coefficient fields illustrate the performance of the non-intrusive adaptive algorithm, showing best-in-class performance.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (27 Seiten, 521,09 KB) , Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2897
    Language: English
    Note: Literaturverzeichnis: Seite 18-22
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  • 2
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (28 Seiten, 4,65 MB) , Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2714
    Language: English
    Note: Literaturverzeichnis: Seite 20-22
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  • 3
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: We present a novel method to approximate optimal feedback laws for nonlinar optimal control basedon low-rank tensor train (TT) decompositions. The approach is based on the Dirac-Frenkel variationalprinciple with the modification that the optimisation uses an empirical risk. Compared to currentstate-of-the-art TT methods, our approach exhibits a greatly reduced computational burden whileachieving comparable results. A rigorous description of the numerical scheme and demonstrations ofits performance are provided.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (26 Seiten, 403,39 KB) , Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2896
    Language: English
    Note: Literaturverzeichnis: Seite 20-24
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  • 4
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: A fuzzy arithmetic framework for the efficient possibilistic propagation of shape uncertainties based on a novel fuzzy edge detection method is introduced. The shape uncertainties stem from a blurred image that encodes the distribution of two phases in a composite material. The proposed framework employs computational homogenisation to upscale the shape uncertainty to a fuzzy effective material. For this, many samples of a linear elasticity problem have to be computed, which is significantly sped up by a highly accurate low-rank tensor surrogate. To ensure the continuity of the underlying mapping from shape parametrisation to the upscaled material behaviour, a diffeomorphism is constructed by generating an appropriate family of meshes via transformation of a reference mesh. The shape uncertainty is then propagated to measure the distance of the upscaled material to the isotropic and orthotropic material class. Finally, the fuzzy effective material is used to compute bounds for the average displacement of a non-homogenized material with uncertain star-shaped inclusion shapes.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (36 Seiten, 2,32 MB) , Illustrationen, Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2907
    Language: English
    Note: Literaturverzeichnis: Seite 30-34
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  • 5
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: Convergence of an adaptive collocation method for the stationary parametric diffusion equation with finite-dimensional affine coefficient is shown. The adaptive algorithm relies on a recently introduced residual-based reliable a posteriori error estimator. For the convergence proof, a strategy recently used for a stochastic Galerkin method with an hierarchical error estimator is transferred to the collocation setting.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (22 Seiten, 338,21 KB)
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2753
    Language: English
    Note: Literaturverzeichnis: Seite 18-19
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  • 6
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the “curse of dimensionality” can be alleviated for the computation of Bermudan option prices with the Monte Carlo least-squares approach as well as the dual martingale method, both using high-dimensional tensorized polynomial expansions. This discretization allows for a simple and computationally cheap evaluation of conditional expectations. Complexity estimates are provided as well as a description of the optimization procedures in the tensor train format. Numerical experiments illustrate the favourable accuracy of the proposed methods. The dynamical programming method yields results comparable to recent Neural Network based methods.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (22 Seiten, 332,25 KB) , Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2821
    Language: English
    Note: Literaturverzeichnis: Seite 18-20
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  • 7
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: In this work a general approach to compute a compressed representation of the exponential exp(h) of a high-dimensional function h is presented. Such exponential functions play an important role in several problems in Uncertainty Quantification, e.g. the approximation of log-normal random fields or the evaluation of Bayesian posterior measures. Usually, these high-dimensional objects are intractable numerically and can only be accessed pointwise in sampling methods. In contrast, the proposed method constructs a functional representation of the exponential by exploiting its nature as a solution of an ordinary differential equation. The application of a Petrov–Galerkin scheme to this equation provides a tensor train representation of the solution for which we derive an efficient and reliable a posteriori error estimator. Numerical experiments with a log-normal random field and a Bayesian likelihood illustrate the performance of the approach in comparison to other recent low-rank representations for the respective applications. Although the present work considers only a specific differential equation, the presented method can be applied in a more general setting. We show that the composition of a generic holonomic function and a high-dimensional function corresponds to a differential equation that can be used in our method. Moreover, the differential equation can be modified to adapt the norm in the a posteriori error estimates to the problem at hand.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (27 Seiten, 364,96 KB)
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2844
    Language: English
    Note: Literaturverzeichnis: Seite 22-25
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  • 8
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: A domain decomposition approach exploiting the localization of random parameters in highdimensional random PDEs is presented. For high efficiency, surrogate models in multi-element representations are computed locally when possible. This makes use of a stochastic Galerkin FETI-DP formulation of the underlying problem with localized representations of involved input random fields. The local parameter space associated to a subdomain is explored by a subdivision into regions where the parametric surrogate accuracy can be trusted and where instead Monte Carlo sampling has to be employed. A heuristic adaptive algorithm carries out a problemdependent hp refinement in a stochastic multi-element sense, enlarging the trusted surrogate region in local parametric space as far as possible. This results in an efficient global parameter to solution sampling scheme making use of local parametric smoothness exploration in the involved surrogate construction. Adequately structured problems for this scheme occur naturally when uncertainties are defined on sub-domains, e.g. in a multi-physics setting, or when the Karhunen-Loéve expansion of a random field can be localized. The efficiency of this hybrid technique is demonstrated with numerical benchmark problems illustrating the identification of trusted (possibly higher order) surrogate regions and non-trusted sampling regions.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (35 Seiten, 3.254 KB) , Illustrationen, Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2565
    Language: English
    Note: Literaturverzeichnis: Seite 29-33
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  • 9
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik Leibniz-Institut im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: A linear PDE problem for randomly perturbed domains is considered in an adaptive Galerkin framework. The perturbation of the domain’s boundary is described by a vector valued random field depending on a countable number of random variables in an affine way. The corresponding Karhunen-Loève expansion is approximated by the pivoted Cholesky decomposition based on a prescribed covariance function. The examined high-dimensional Galerkin system follows from the domain mapping approach, transferring the randomness from the domain to the diffusion coefficient and the forcing. In order to make this computationally feasible, the representation makes use of the modern tensor train format for the implicit compression of the problem. Moreover, an a posteriori error estimator is presented, which allows for the problem-dependent iterative refinement of all discretization parameters and the assessment of the achieved error reduction. The proposed approach is demonstrated in numerical benchmark problems.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (20 Seiten, 5.328 KB) , Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2566
    Language: English
    Note: Literaturverzeichnis: Seite 16-18
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  • 10
    Online Resource
    Online Resource
    Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik im Forschungsverbund Berlin e.V.
    Keywords: Forschungsbericht
    Description / Table of Contents: Stochastic Galerkin methods for non-affine coefficient representations are known to cause major difficulties from theoretical and numerical points of view. In this work, an adaptive Galerkin FE method for linear parametric PDEs with lognormal coefficients discretized in Hermite chaos polynomials is derived. It employs problem-adapted function spaces to ensure solvability of the variational formulation. The inherently high computational complexity of the parametric operator is made tractable by using hierarchical tensor representations. For this, a new tensor train format of the lognormal coefficient is derived and verified numerically. The central novelty is the derivation of a reliable residual-based a posteriori error estimator. This can be regarded as a unique feature of stochastic Galerkin methods. It allows for an adaptive algorithm to steer the refinements of the physical mesh and the anisotropic Wiener chaos polynomial degrees. For the evaluation of the error estimator to become feasible, a numerically efficient tensor format discretization is developed. Benchmark examples with unbounded lognormal coefficient fields illustrate the performance of the proposed Galerkin discretization and the fully adaptive algorithm.
    Type of Medium: Online Resource
    Pages: 1 Online-Ressource (32 Seiten, 559 kB) , Diagramme
    Series Statement: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik no. 2515
    Language: English
    Note: Literaturverzeichnis: Seite 28-30
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