On the Numerical Approximation of the Karhunen-Loève Expansion for Lognormal Random Fields

08/01/2019 ∙ by Michael Griebel, et al. ∙ 0

The Karhunen-Loève (KL) expansion is a popular method for approximating random fields by transforming an infinite-dimensional stochastic domain into a finite-dimensional parameter space. Its numerical approximation is of central importance to the study of PDEs with random coefficients. In this work, we analyze the approximation error of the Karhunen-Loève expansion for lognormal random fields. We derive error estimates that allow the optimal balancing of the truncation error of the expansion, the Quasi Monte-Carlo error for sampling in the stochastic domain and the numerical approximation error in the physical domain. The estimate is given in the number M of terms maintained in the KL expansion, in the number of sampling points N, and in the discretization mesh size h in the physical domain employed in the numerical solution of the eigenvalue problems during the expansion. The result is used to quantify the error in PDEs with random coefficients. We complete the theoretical analysis with numerical experiments in one and multiple stochastic dimensions.

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