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Time-dependent generalized polynomial chaos

delete2010-11-01
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PRE
AI
M
Marc Gerritsma *
J
Jan‐Bart van der Steen
P
Peter Vos
G
George Em Karniadakis
DOI:10.1016/j.jcp.2010.07.020delete
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摘要

摘要

En 中文
Generalized polynomial chaos (gPC) has non-uniform convergence and tends to break down for long-time integration. The reason is that the probability density distribution (PDF) of the solution evolves as a function of time. The set of orthogonal polynomials associated with the initial distribution will therefore not be optimal at later times, thus causing the reduced efficiency of the method for long-time integration. Adaptation of the set of orthogonal polynomials with respect to the changing PDF removes the error with respect to long-time integration. In this method new stochastic variables and orthogonal polynomials are constructed as time progresses. In the new stochastic variable the solution can be represented exactly by linear functions. This allows the method to use only low order polynomial approximations with high accuracy. The method is illustrated with a simple decay model for which an analytic solution is available and subsequently applied to the three mode Kraichnan-Orszag problem with favorable results. (C) 2010 Elsevier Inc. All rights reserved.
Keyword:
Polynomial chaos
Monte-Carlo simulation
Stochastic differential equations
Time dependence
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Journal of Computational Physics 封面图
Journal of Computational Physics
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