Generalized Spectral Decomposition for Stochastic Non Linear Problems

Anthony Nouy (1) , Olivier Le Maitre (2)

1 GeM - Institut de Recherche en Génie Civil et Mécanique
2 LIMSI - Laboratoire d'Informatique pour la Mécanique et les Sciences de l'Ingénieur

We present an extension of the Generalized Spectral Decomposition method for the resolution of non-linear stochastic problems. The method consists in the construction of a reduced basis approximation of the Galerkin solution and is independent of the stochastic discretization selected (polynomial chaos, stochastic multi-element or multiwavelets). Two algorithms are proposed for the sequential construction of the successive generalized spectral modes. They involve decoupled resolutions of a series of deterministic and low dimensional stochastic problems. Compared to the classical Galerkin method, the algorithms allow for significant computational savings and require minor adaptations of the deterministic codes. The methodology is detailed and tested on two model problems, the one-dimensional steady viscous Burgers equation and a two-dimensional non-linear diffusion problem. These examples demonstrate the effectiveness of the proposed algorithms which exhibit convergence rates with the number of modes essentially dependent on the spectrum of the stochastic solution but independent of the dimension of the stochastic approximation space.

Mots clés: Uncertainty quantification; Stochastic spectral Decompositions; Non-linear problem; Generalized Spectral Decomposition; Eigenproblem

Domaines: Analyse numérique [math.NA]

Anthony Nouy, Olivier Le Maitre. Generalized Spectral Decomposition for Stochastic Non Linear Problems. Journal of Computational Physics, 2009, 228 (1), pp.202-235. ⟨10.1016/j.jcp.2008.09.010⟩. ⟨hal-00366630⟩