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Implementation of optimal Galerkin and Collocation approximations of PDEs with Random Coefficients ⋆ ⋆⋆

J. Beck;  F. Nobile;  L. Tamellini;  R. Tempone — 2011

ESAIM: Proceedings

In this work we first focus on the Stochastic Galerkin approximation of the solution u of an elliptic stochastic PDE. We rely on sharp estimates for the decay of the coefficients of the spectral expansion of u on orthogonal polynomials to build a sequence of polynomial subspaces that features better convergence properties compared to standard polynomial subspaces such as Total Degree or Tensor Product. We consider then the Stochastic...

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