Spectral element approximation of Fredholm integral

eigenvalue problems
Saulo P. Oliveiraa,∗, Juarez S. Azevedob
a
Departamento de Matemática, Universidade Federal do Paraná, 81531-980,
Curitiba-PR, Brazil.
b
CETEC-UFRB, Centro, 44380-000, Cruz das Almas-BA, Brazil.

Abstract
We consider the numerical approximation of homogeneous Fredholm integral
equations of second kind, with emphasis on computing truncated Karhunen-
Loève expansions. We employ the spectral element method with Gauss-
Lobatto-Legendre (GLL) collocation points. Similarly to piecewise-constant
finite elements, this approach is simple to implement and does not lead to
generalized discrete eigenvalue problems. Numerical experiments confirm
the expected convergence rates for some classical kernels and illustrate how
this approach can improve the finite element solution of partial differential
equations with random input data.
Keywords: Spectral element method, Fredholm integral of second kind,
Karhunen-Loève expansion.
2000 MSC: 45C05, 65R20, 35R60, 65M70

1. Introduction
Eigenvalue problems involving the Fredholm integral equation of second
kind are present in many areas of sciences and engineering, such as acoustics
[15], celestial mechanics [18], fracture mechanics [8], image processing [24],
information theory [7], laser theory [10], machine learning [20], meteorology
[11], and optics [35].

∗
Corresponding author.
Email addresses: saulopo@ufpr.br (Saulo P. Oliveira), juarezsa@gmail.com
(Juarez S. Azevedo)

Preprint submitted to Journal of Computational and Applied MathematicsJanuary 10, 2013

 In the context of stochastic finite element methods [19], the discretiza-
tion of random fields must provide sufficient accuracy using as few random
variables as possible. One approach that is often employed is the Karhunen-
Loève (KL) expansion, a parametrization of a random field in terms of un-
correlated random variables and eigenfunctions of a homogeneous Fredholm
integral equation of the second kind, whose kernel is the covariance function
of the random field.
Several techniques have been developed to approximate the solution of
Fredholm equations of second kind, and three classes are particularly empha-
sized in the literature: degenerate kernel, projection, and Nyström methods
[4], which have been employed in the homogeneous case (see, e.g., [1, 23, 30]).
As pointed out in [4, 30], the discretization by degenerate kernel and pro-
jection methods demand the evaluation of integrals; the conjunction of these
methods with a quadrature scheme leads to Nyström-type methods (for in-
stance, discrete Galerkin and discrete collocation methods [4]). Wang [34]
discusses pros and cons of collocation and discrete collocation methods.
In this work we propose the approximation of homogeneous Fredholm
equations of second kind by a discrete Galerkin method given by the spectral
element method with Gauss-Lobatto-Legendre (GLL) collocation points in
conjunction with GLL quadrature [22]. Spectral element methods are high-
order finite element methods that employ piecewise continuous Lagrange
shape functions whose collocation points are roots of orthogonal polynomi-
als. This class of methods has been successful on wave propagation problems
mainly because they are flexible to deal with complex geometries and produce
low dispersion error [27]. Spectral elements have been used in the contexts of
eigenvalue problems for differential operators [2] and Volterra integral equa-
tions [32], but to the authors’ knowledge they have not yet been considered
for solving the Fredholm integral eigenvalue problem.
The discrete eigenvalue system obtained from the GLL spectral element
method can be recast as a Nyström collocation method, for which a vast
literature on error analysis is available [3, 9, 23, 31]. We rephrase the clas-
sical error analysis to the proposed method as well as numerically evaluate
the approximation error for some smooth and non-smooth kernels. We also
perform numerical comparisons between truncated KL expansions obtained
form the spectral element method with those computed with the piecewise-
constant finite element method [5, 29], or equivalently, the wavelet Galerkin
method with Haar basis functions [28].
The remainder of the paper is organized as follows: in the next section

2
we present the problem setting and introduce the notations that will be
used throughout this work. In Section 3 we review the piecewise-constant
finite element method and present the spectral element method with GLL
collocation points along with its fundamental properties. Theoretical error
bounds for these methods are provided in Section 4. Section 5 is devoted to
numerical examples that illustrate the accuracy of the proposed method and
its application to problems with random input data. The paper closes with
concluding remarks in Section 6.

2. Problem setting
Let D be a bounded domain in IRd (d = 1, 2, or 3) with closure D̄ and
Lipschitz-continuous boundary ∂D. We consider the Hilbert space L2 (D)
equiped with the usual inner product and induced norm
Z
(u, v) = u(x)v(x) dx, kvk2L2 (D) = (u, v)1/2 , (1)
D

along with the spaces H k (D), k ≥ 1 with the standard norms and semi-norms
k
X X
kvk2H k (D) = |v|2l , |v|2l = k∂ α vk2L2 (D) , (2)
l=0 |α|=l

where α = (α1 , . . . , αd ) ∈ IN d and |α| = α1 + . . . + αd .

Let (Ω, F, µ) be a complete probability space, where Ω represents the set of
outcomes, F ⊂ 2Ω is a σ-algebra of events, and µ : F → [0, 1] is a probability
measure. Let Y : D × Ω → IR be a random field with expectation
Z
hY (x, ω)i = Y (x, ω) dµ
Ω

such that hY ′ (x, ω)2 i < ∞ for any x ∈ D, where Y ′ = Y − hY i denotes the
fluctuation of Y around the mean. We have that the covariance function

K(x, y) = hY ′ (x, ω)Y ′ (y, ω)i

is of nonnegative-definite type, i.e., for any finite subset Dn ⊂ D and for any
function h : Dn → IR,
X
K(x, y)h(x)h(y) ≥ 0. (3)
x,y∈Dn

3
 Moreover, if Y is continuous in quadratic mean, then K admits the spec-
tral decomposition
∞
X
K(x, y) = λk φk (x)φk (y), (4)
k=1

where the nonnegative eigenvalues λk and the orthonormal eigenfunctions φk

(k ≥ 0) are the solutions of the homogeneous Fredholm integral equation
Z
K(x, y)φ(y) dy = λφ(x), x ∈ D. (5)
D

The Gaussian field Y can be represented by the Karhunen-Loève expansion

∞ p
X
Y (x; ω) = hY (x; ω)i + λk φk (x)ξk (ω), (6)
k=1

−1/2
where ξk (ω) = λk (Y, φk ) satisfies hξi ξj i = δij . In particular, if Y is a
Gaussian field, then ξk (ω) are independent Gaussian random variables with
zero mean and unitary variance [25, Sec 37].
Motivated by (3)-(6), we will consider finite element approximations of (5)
for symmetric, nonnegative-definite kernels. From here on, m is an arbitrary
positive integer such that λm > 0 and C denotes a generic positive constant
that does not depend on the discretization parameter h.
We have the following result concerning the regularity of the eigenvalues
and eigenfunctions of (5):
Lemma 2.1. Let p be a positive integer. If K ∈ H k (D × D) with k > 2p + 1,
then φm ∈ H k (D) and there exists C = C(K, N ) > 0 and 0 < s < 1 such
that |φm |l ≤ Cλ−s
m for any l ≤ p.

Proof: The regularity of φm follows from Proposition A.2 in [29]. We have

from equation (A.5) in [29] that, for any l ∈ {0, 1, . . . , k − 1} there exists a
constant C > 0, which depends on k, D, and ε0 = max{|λm | ; m ≥ 1}, such
that
|φm |l ≤ C|λm |−l/(k−1−l) = Cλm
−l/(k−1−l)
.
The proof follows by choosing l ≤ p.
Remark 2.1. The spaces H k (D) and H k (D × D) are respectively contained
in C 0 (D) and C 0 (D × D) with a compact injection if k > d/2 and k > d [14,
p. 114].

4
3. Finite element approximation
Let us consider the variational formulation of the Fredholm integral equa-
tion (5): find λk ∈ R and φk (x) ∈ L2 (D) (k = 1, 2, . . .) such that

a(φk , v) = λk (φk , v) ∀ v ∈ L2 (D), (7)

Z Z
a(u, v) = K(x, y)u(y)v(x) dy dx. (8)
D D

Let Vh = span{v1 , . . . , vn } ⊂ L2 (D). The Galerkin approximation to (7)

in Vh consists of finding λhk ∈ IR and φhk (x) ∈ Vh (1 ≤ k ≤ n) such that

a(φhk , vh ) = λhk (φhk , vi ) ∀ vh ∈ Vh , (9)

which can be written as a generalized eigenvalue problem Kφk = λhk M φk ,

where the matrices K and M are defined by the coefficients

Ki,j = a(vj , vi ), Mi,j = (vj , vi ), 1 ≤ i, j ≤ n. (10)

The matrix K is typically dense, which demands a large computational

effort, both in memory and CPU time, to solve the discrete eigenvalue prob-
lem. Efficient algorithms for this purpose were proposed in [17, 21, 29].
In the following we choose v1 , . . . , vn as finite element basis functions. Let
(Th )h>0 be a family of regular and quasi-uniform affine partitions Th of D̄ into
elements De (1 ≤ e ≤ Ne ) with maximum element length h > 0 such that
Ḋe ∩ Ḋf = ∅ for e 6= f and
[Ne
D̄ = D̄e . (11)
e=1
e
For each 1 ≤ e ≤ Ne , let x = F (x̂) be the affine mapping from the ele-
ment De to the reference element D̂ = [−1, 1]d and let J e be the determinant
of the Jacobian matrix of the transformation F e .

3.1. Piecewise-constant finite element method

Let Vh = VhP C be the space of piecewise-constant functions defined in Th .
The shape functions
(
|De |−1/2 , x ∈ De
ve (x) = (12)
0, x 6∈ De , e = 1, . . . , Ne

5
constitute an orthonormal basis for Vh , hence the discrete eigenvalue problem
reduces to
s
1
Z Z
h
Kφk = λk φk , Ki,j = K(x, y) dy dx. (13)
|Di ||Dj | Di Dj

By approximating the integral in (14) by the midpoint rule, we find fol-

lowing modified eigenvalue problem
p
K P C φk = λhk φk , Ki,j
PC
= |Di ||Dj |K(x̄i , ȳ j ), (14)

where x̄e = F e (0), 1 ≤ e ≤ Ne .

3.2. Spectral element method

Finite elements of degree higher than zero lead to generalized eigenvalue
problems in which the matrix M is not necessarily diagonal. In analogy with
finite element methods for transient problems, mass-diagonal formulations
are attractive, hence the GLL spectral element method is a natural choice.
Starting from the space ÛN of polynomials with degree N ≥ 1 in [−1, 1],
we build the product space V̂N = (ÛN )d of multivariate polynomials with
degree N ≥ 1 in the reference element D̂ = [−1, 1]d .
We choose the 1D local basis functions ûi (0 ≤ i ≤ N ) for ÛN as the
Lagrangian polynomials of degree N satisfying the relation ûi (ξj ) = δi,j
(0 ≤ i, j ≤ N ), where ξ0 , . . . , ξN are the Gauss-Lobatto-Legendre (GLL)
collocation points, which are found by numerically solving the equation
(1 − ξ 2 )PN′ (ξ) = 0, where PN′ denotes the derivative of the Legendre polyno-
mial of degree N [13].
Let Nve = dim V̂N = (N + 1)d be the number of element nodes. We
construct the local basis for V̂N from products of the 1D local basis functions
ûj (for instance, v̂i (x̂) = v̂(N +1)i1 +i2 (x̂1 , x̂2 ) = ûi1 (x̂1 )ûi2 (x̂2 ) in 2D). In this
manner, the polynomial basis functions v̂i ∈ V̂N satisfy v̂i (ξ j ) = δi,j for
0 ≤ i, j ≤ Nve − 1, where ξ j ∈ D̂ are built from products of the GLL points.
We consider the space Vh = VhGLL defined as the following space of con-
tinuous and piecewise functions:
n o
VhGLL = p ∈ C 0 (D) ; p |De = p̂e ◦ (F e )−1 and p̂e ∈ V̂N , 1 ≤ e ≤ Ne .

Given a connectivity array IEN that assigns the local node i of the
element De to the global node I = IEN (i, e), we assemble the global basis

6
functions vI ∈ Vh , in order that

vI (F e (x̂)) |De = v̂i (x̂), e = 1, . . . , Ne .

Let Nv be the number of global vertices. By construction, the global

functions vi ∈ Vh also satisfy a Lagrange property

vI (xJ ) = δI,J , 1 ≤ I ≤ Nv , (15)

where the global nodes xJ satisfy xJ = F e (ξ i ) for any i, e such that J =

IEN (i, e). On the other hand, we perform numerical integration with a
product GLL quadrature as follows:
e
Z Ne Z
X Ne N
X X v −1
e
f (x) dx = f (F (x̂))J dx̂ ≈ e
ŵl f (F e (ξ l ))J e , (16)
D e=1 D̂ e=1 l=0

where ŵl > 0 are the product quadrature weights corresponding to the col-
location points ξ l , 1 ≤ l ≤ Nve − 1 [13]. In the case of a continuous integrand
f , we can rewrite (16) as
e
Z Ne N
X X v −1 Nv
X
e e
f (x) dx ≈ ŵl f (F (ξ l ))J = wJ f (xJ ), (17)
D e=1 l=0 J=1

with the global weights wJ (J = 1, . . . , Nv ) defined as follows:

X
wJ = ŵl J e , IENJ = {(l, e) ; J = IEN (l, e)}. (18)
(l,e)∈IENJ

In particular for f = vi vi , and taking (15) into account, we have that the
entries of mass matrix M in (10) are approximated as follows:
Nv
X
GLL
Mi,j ≈ Mi,j := wJ vi (xJ )vj (xJ ) = wi δi,j . (19)
J=1

Analogously, for the entries of the matrix K,

Nv X
X Nv
GLL
Ki,j ≈ Ki,j := wI wI K(xJ , xI )vi (xI )vj (xJ ) = wi wj K(xi , xj ),
I=1 J=1
(20)

7
hence the resulting discrete eigenvalue system is

K GLL φk = λhk M GLL φk , GLL

Mi,j GLL
= wi δi,j , Ki,j = wi wj K(xi , xj ). (21)

As pointed out in [23], this system can be easily transformed into a sym-
metric eigenvalue problem, which is convenient for numerical calculations.
Moreover, system (21) can be reduced to

K̃ GLL φk = λhk φk , GLL

K̃i,j = wj K(xi , xj ), (22)

which is a straightforward extension of system (14) to high-order polynomials.

We can further recast this system in the form of the Nyström collocation
method
Nv
X
wj K(xi , xj )φhk (xi ) = λhk φhk (xi ), 1 ≤ i ≤ Nv . (23)
j=1

Remark 3.1. In the one-dimensional case, we recover the collocation method

with the trapezoidal and Simpson’s rules [9] when N = 1 and N = 2, respec-
tively.

4. Error analysis
In this section we present error bounds for the approximate eigenvalues
computed with the methods outlined in Section 3. Let us denote by λ̃hm
the eigenvalues of the Galerkin eigenvalue problem (13). Schwab and Todor
[29, 33] have proved that

λm − λ̃hm = O(h2 ). (24)

We define the following bilinear form associated with the discrete Galerkin
eigenvalue problem (14):
Ne
X
aPh C (uh , vh ) = |Di ||Dj |K(x̄i , ȳ j )uh (x̄i )vh (ȳ j ). (25)
i,j=1

Using the Cauchy-Schwarz inequality and proceeding as in [2, Thm. 3.5],

we find
|a(vh , vh ) − aPh C (vh , vh )| ≤ Ch2 kvh2 k2L2 (D) , (26)

8
where C depends on D and K. On the other hand, the min-max char-
acterization of the approximate eigenvalues λ̃hm of (13) and λhm of (14) are
respectively given as follows:

a(vh , vh ) aPh C (vh , vh )

λ̃hm = min maxm , λhm = min maxm , (27)
m
E ⊂Vh vh ∈E (vh , vh ) m E ⊂Vh vh ∈E (vh , vh )

where E m (1 ≤ m ≤ Nv ) is an m−dimensional subspace of VhP C . We have

from (26) and (27) that

a(vh , vh ) aP C (vh , vh ) a(vh , vh )

− Ch2 ≤ h ≤ + Ch2 , (28)
(vh , vh ) (vh , vh ) (vh , vh )

which yields |λ̃hm − λhm | ≤ Ch2 (see also [2, Thm. 5.2]). Thus from (24) and
the triangular inequality we find

λm − λhm = O(h2 ). (29)

Let us now consider the spectral element method in the Nyström formu-
lation (23):
Theorem 4.1. Let K ∈ H k (D × D) with k > 4N + 1 be a symmetric and
nonnegative covariance kernel and let (λm , φm ) be an eigenpair of (5) with
kφm kL2 (D) = 1. There exists an approximate eigenvalue λhm of (23) such that
λm − λhm = O(h2N ).
Proof: The steps of this proof are essentially the same as in [23]. Let us
define the truncation error
Z XNv
ǫi = K(xi , y)φm (y) dy − wj K(xi , xj )φm (xj ). (30)
D j=1

Recalling (17), we have that

Ne Z Nve −1
X X
ǫi = EK̂ [ĝie ]J e , EK̂ [ĝ] = ĝ(ŷ) dŷ − ŵj ĝ(ξ j ), (31)
e=1 D̂ j=0

where ĝie (x̂) = gie (F e (x̂)), gi (x) = K(xi , x)φm (x), and the upper index e
denotes restriction to the element De . Following [2, Thm. 3.5], we note
that EK̂ is a continuous linear functional that satisfies f e (q̂) = 0 for any

9
q̂ ∈ P2N −1 (D̂); it follows from Bramble-Hilbert’s lemma [14, Thm. 4.1.3] and
the inequality (3.1.20) in [14] that
|EK̂ [ĝie ]| ≤ C|ĝie |2N ≤ Ch2N (J e )−1/2 |gie |2N . (32)
We have from (31)-(32) and Lemma 2.1 that
|ǫi | ≤ Ch2N , 1 ≤ i ≤ Nv , (33)
where C now depends also on K and λm . Let v = [φm (x1 ), . . . , φm (xNv )]T
and let h0 > 0 such that v 6= 0 for any h ≥ h0 . There exists an approximate
eigenvalue λhm of (23) such that
Nv
! N !−1
X X v

|λm − λhm |2 ≤ wi ǫ2i wi φ2m (xi ) . (34)

i=1 i=1

Indeed, we have from (30) that

Nv
X
wi ǫi = λm wi φm (xi ) − wi K(xi , xj )wj φm (xj ),
j=1

or in vector form ADv = −Dǫ, where

A = K̃ GLL − λm I, D = diag({w1 , . . . , wNv }).
If λm is an eigenvalue of K̃ GLL , then (34) trivially holds. Otherwise, the
matrix A is invertible and kD1/2 vk2 ≤ kD−1/2 A−1 D1/2 k2 kD1/2 ǫk2 . Since the
kernel K is symmetric, the matrix à = D−1/2 A−1 D1/2 is symmetric, hence
kÃk2 = ρ(Ã) = ρ(A−1 ),
and identity (34) follows by choosing λhm such that |λhm − λm | = ρ(A−1 ). On
the other hand, it follows from (33) that
Nv
X
1/2
kD ǫk22 = wi ǫ2i ≤ max |ǫi |2 |D| ≤ Ch4N .
1≤i≤Nv
i=1

Moreover, analogously to (31)-(32), we have

Z Nv

 X 
1 − kD1/2 vk22  =  φ2m (x) dx − wi φ2m (xi ) ≤ Ch2N |φ2m |2N .
  
 D 
i=1

In particular, we can find h1 > 0 such that kD1/2 vk2 > 1/2 for any
h > h1 . Thus,
|λm − λhm | ≤ Ch2N ∀ h > max{h0 , h1 }

10
5. Numerical experiments
In the following we numerically evaluate the performance of the piecewise-
constant finite element (PC) and the spectral element method (GLL) on solv-
ing the homogeneous Fredholm integral equation and computing truncated
KL expansions. For GLL, we consider the polynomial degree ranging from
N = 1 to N = 4.

5.1. Numerical convergence

Our first experiments concern the numerical convergence of these meth-
ods. We study the relative error ek = |1 − λhk /λk | in the approximation of
the k-th eigenvalue of (5). Let D =]0, 1[ and K(x, y) be the sinc kernel
sin c(x − y)
K(x, y) = , c > 0. (35)
π(x − y)
Figure 1 (left) shows the relative error of the 10th eigenvalue of the sinc
kernel (with c = 15) for PC and GLL. We evaluated λ10 according to the
procedure presented in [12].
A similar experiment is carried out with the Gaussian covariance kernel
K(x, y) = σ 2 exp(−(x − y)2 /η 2 ), (36)
where the positive constants σ and η represent the variance and the correla-
tion length, respectively. The relative errors are shown in Figure 1 (right).
We employed the parameters σ = 1 and η = 0.1, and a reference solution
was calculated with the GLL spectral element method with N = 16 and
Ne = 212 . The error curves agree with predicted convergence rates presented
in Section 4.
The accuracy of GLL strongly depends on the regularity of the covariance
kernel K, as seen in Theorem 4.1. In order to illustrate this fact, let us
consider the non-smooth exponential kernel
K(x, y) = σ 2 exp(−|x − y|/η). (37)
The parameters σ and η have the same meaning as in the Gaussian kernel
(36). The exponential kernel (37) is often used on benchmark tests, since
closed formulas are available for its eigenvalues and eigenfunctions (see, e.g.,
[6, 19, 26]). The exact eigenvalues are
2ησ
λi = , (38)
η 2 γi2
+1

11
 0 0
10 10

−5 −5
10 10
e10

e10
−10 −10
10 10
PC PC
N =1 N =1
N =2 N =2
N =3 N =3
−15 N =4 −15 N =4
10 10
−2 −1 −2 −1
10 10 10 10
h h

Figure 1: Relative GLL error the 10th eigenvalue versus number of elements for the sinc
(left) and the Gaussian (right) covariance kernel.

where the parameters γ1 , γ2 , . . . are roots of the equation (η 2 γ 2 − 1) sin(γ) =

2ηγ cos(γ). Moreover, for D =]0, 1[×]0, 1[, the exact eigenvalues of the sepa-
rable exponential covariance function

K(x, y) = σ 2 exp(−|x1 − y1 |/η − |x2 − y2 |/η) (39)

are λ2D
n = λi λj , where the index n = n(i, j) is set to arrange the eigenvalues
in decreasing order.
We consider the input parameters σ = 1 and η = 0.1. Figure 2 shows
the relative error of the 10th eigenvalue of the 1D kernel (37) and the 100th
eigenvalue of the 2D kernel (39). The error curves of both PC and GLL
decay with order O(h2 ), regardless of the polynomial degree. These results
are consistent with the experiments of Wang [34] on the Nyström method
with Simpson’s rule.

5.2. Random linear advection

This second experiment is a one-dimensional advection problem presented
by Dorini and Cunha [16]. We seek the scalar field Q : IR × Ω × [0, T ] → IR
such that, µ-almost everywhere in Ω,

 ∂Q (x; ω; t) + A(ω) ∂Q (x; ω; t) = 0, x ∈ IR, t > 0,



∂t ∂t (40)
Q(x; ω; 0) = Q0 (x; ω).


The velocity A(ω) is a normal random variable A ∼ N (µA , σA2 ) with

µA = −0.5 and σA = 0.6. The initial condition Q0 (x; ω) is a Gaussian

12
 0
0
10 10

−1 −1
10 10

e100
e10

−2 −2
10 PC 10 PC
N =1 N =1
N =2 N =2
N =3 N =3
N =4 N =4
−3 −3
10 −2 −1
10 −2 −1
10 10 10 10
h h

Figure 2: Relative GLL error the 10th (100th) eigenvalue versus number of elements for
the 1D (left) and 2D (right) exponential covariance kernel.

process defined by the expectation


1 , x ∈ (1.4, 2.2),
hQ0 (x; ω)i = 2 (41)
e−20(x−0.25) , otherwise,
and the covariance K(x, y) given by equation (37) with correlation length
η = 0.3 and variance σ 2 = 0.16. The velocity and the initial condition are
assumed independent.
Following [16], a reference solution is computed with the Monte Carlo
method using 30000 statistically independent suites of realizations of A and
Q0 (x; ω). Each realization A(ω) and Q0 (x; ω) yields the analytical solution
Q(x; ω; t) = Q0 (x − A(ω)t; ω). Similarly, we consider the approximate solu-
tions
n q
X
Qh (x; ω; t) = Qh0 (x−A(ω)t; ω), Qh0 (x; ω) = hQ0 (x; ω)i+ λhk φhk (x)ξk (ω),
k=1

where n = Ne for PC and n = Nv for GLL. We employ a homogeneous grid

of element size h = 1/4 on both methods.
2
Figure 3 represents the variance σQ (x) = hQ′T (x; ω; T )2 i for T = 4
of the reference solution (MC) along with PC and GLL approximations.
Note that PC accurately approximates the average of the reference solu-
tion at each element and GLL approaches the reference solution as N in-
creases. However, PC is less accurate when we consider the covariance
CQ0 (x) = hQ′ (x; ω; T )Q′ (0; ω; T )i, as shown in Figure 4. The GLL approxi-
mation of CQ0 (x) has a similar accuracy as in the variance σQ 2
(x), indicating
the robustness of this method.

13
 0.45 MC 0.45 MC
PC N =1
0.4 0.4
0.35 0.35
σQ

σQ
2

2
0.3 0.3
0.25 0.25
0.2 0.2
0.15 0.15

−2 −1 0 1 2 3 −2 −1 0 1 2 3
x x

0.45 MC 0.45 MC
N =2 N =4
0.4 0.4
0.35 0.35
σQ

σQ
2

0.3 0.3
0.25 0.25
0.2 0.2
0.15 0.15

−2 −1 0 1 2 3 −2 −1 0 1 2 3
x x

2
Figure 3: Variance σQ (x) = hQ′T (x; ω; T )2 i of the scalar field Q for T = 0.4. Dashed
curves: reference solution; solid curves: PC and GLL with N = 1, 2, and 4.

5.3. Transient flow in saturated heterogeneous media

In this example, we consider a problem, presented by Zu and Zhang [26],
of transient saturated flow in two-dimensional heterogeneous porous media
governed by the following continuity equation and Darcy’s law

q(x; ω; t) = −T(x; ω)∇h(x; ω; t), x ∈ D, t > 0,

∂h (42)
S (x; ω; t) + ∇ · q(x; ω; t) = 0,
∂t
for D =]0, L1 [×]0, L2 [, where L1 = L2 = 10. The transmissivity T is a
random field T(x; ω) = exp(Y (x; ω)), where Y is a Gaussian field, and the

14
 0.25 0.25

0.2 0.2

0.15 0.15
C Q0

C Q0
0.1 0.1

0.05 0.05
MC MC
0 PC 0 N =1
−0.05 −0.05
−2 −1 0 1 2 3 −2 −1 0 1 2 3
x x

0.25 0.25

0.2 0.2

0.15 0.15
C Q0

C Q0

0.1 0.1

0.05 0.05
MC MC
0 N =2 0 N =4
−0.05 −0.05
−2 −1 0 1 2 3 −2 −1 0 1 2 3
x x

0
Figure 4: Covariance CQ (x) = hQ′ (x; ω; T )Q′ (0; ω; T )i of the scalar field Q for T = 0.4.
Dashed curves: reference solution; solid curves: PC and GLL with N = 1, 2, and 4.

storativity S is constant. The boundary and initial conditions are



 h(x; ω; t) = H1 , x1 = 0, t > 0

 h(x; ω; t) = H2 , x 1 = L1 , t > 0


∂h (43)
 (x; ω; t) = 0, x2 = 0, L2 , t > 0
∂x2




h(x; ω; t) = H0 (x), x ∈ D, t = 0.


Initially, the flow is in steady state with constant heads H10 = 9.5 on
the left boundary and H20 = 9.0 on the right boundary. At time t = 0,
the constant heads on the left and right boundaries are suddenly changed
to H1 = 11 and H2 = 10, respectively [26]. The storativity is chosen as
S = 0.005. The mean of the log transmissivity is given as hY (x; ω)i = 0.0,

15
and its covariance kernel is the separable exponential kernel (39) with the
parameters σ 2 = 1.0 and η = 1.0.
The flow domain is uniformly discretized into Ne × Ne square elements,
and the time integration is performed with the Crank-Nicolson method with
∆t = 10−3 . As in [26], the reference solution is computed by Monte Carlo
simulation with 5000 unconditional realizations, in which the log transmis-
sivity is approximated by a truncated KL expansion with Ne2 terms. We
employed Ne = 40 on the reference solution and Ne = 20 on the GLL and
PC approximations. Once the truncated KL expansion is found for either ap-
proach, we compute realizations of the hydraulic head by numerically solving
(42)-(43) with piecewise bilinear finite elements.
We exhibit the solutions along the profile x2 = L2 /2 and at the times
t = 0, 0.01, 0.05, 0.4. The reference solution is shown in dashed lines, whereas
PC and GLL solutions are shown in solid lines. Figure 5 shows the transient
head variance σh2 (x1 , t) = hh(x1 , L2 /2; ω; t)i, and Figure 6 illustrates the cross
covariance between the log transmissivity and the hydraulic head,

CY h (x1 ; t) = hY ′ (x1 , L2 /2; ω)h(x1 , L2 /2; ω; t)i.

The performance of the piecewise constant method is similar to the pre-

vious section, in the sense that the accuracy drops when we consider non-
diagonal second-order moments. The spectral element method has again
provided robust approximations, but it was less sensitive to the polynomial
degree.

6. Conclusions
The Gauss-Lobatto-Legendre (GLL) spectral element method was em-
ployed to numerically solve the homogeneous Fredholm integral equation
(5). The GLL quadrature rendered the matrix M in (10) diagonal, in or-
der that the resulting discrete eigenvalue problem (22) is analogous to the
system (14) obtained from the piecewise constant finite element discretiza-
tion. As expected from classical error estimates, spectral elements of degree
N provide eigenvalue approximations of order O(h2N ), assuming that the
kernel function K is sufficiently regular (Theorem 4.1). The numerical ex-
periments on Section 5 indicate that this method is an attractive choice for
solving equation (5) and numerically computing truncated Karhunen-Loéve
expansions.

16
 PC N =1
t= 0 t= 0
0.06 t= 0.01 0.06 t= 0.01
t= 0.05 t= 0.05
t= 0.4 t= 0.4
0.04 0.04
σh2

σh2
0.02 0.02

0 0

0 2 4 6 8 10 0 2 4 6 8 10
x1 x1
N =2 N =4
t= 0 t= 0
0.06 t= 0.01 0.06 t= 0.01
t= 0.05 t= 0.05
t= 0.4 t= 0.4
0.04 0.04
σh2

σh2

0.02 0.02

0 0

0 2 4 6 8 10 0 2 4 6 8 10
x1 x1

Figure 5: Transient variance σh2 (x1 , t) = hh(x1 , L2 /2; ω; t)i. Dashed curves: reference
solution; solid curves: PC and GLL with N = 1, 2, and 4.

For practical purposes, the accuracy of the proposed method could also
be investigated, both theoretically and experimentally, for non-affine and
simplicial elements. Moreover, the knowledge of spectral element methods
for deterministic problems [22] could be further explored by providing the
discretization space for not only the eigenfunctions of the auxiliary Fred-
holm integral equation, but also the unknowns of initial and boundary value
problems with random input data.

Acknowledgements
This research is supported by Brazilian agency CNPq under grants 314553/2009-
6 and 471182/2011-7.

17
 PC N =1
0.1 0.1
t= 0 t= 0
t= 0.01 t= 0.01
0.08 t= 0.05 0.08 t= 0.05
t= 0.4 t= 0.4
0.06 0.06
CY h

CY h
0.04 0.04

0.02 0.02

0 0

−0.02 −0.02
0 2 4 6 8 10 0 2 4 6 8 10
x1 x1
N =2 N =4
0.1 0.1
t= 0 t= 0
t= 0.01 t= 0.01
0.08 t= 0.05 0.08 t= 0.05
t= 0.4 t= 0.4
0.06 0.06
CY h

CY h

0.04 0.04

0.02 0.02

0 0

−0.02 −0.02
0 2 4 6 8 10 0 2 4 6 8 10
x1 x1

Figure 6: Transient cross-covariance CY h (x1 ; t) = hY ′ (x1 , L2 /2; ω)h(x1 , L2 /2; ω; t)i.

Dashed curves: reference solution; solid curves: PC and GLL with N = 1, 2, and 4.

References
[1] C. Alouch, P. Sablonnière, D. Sbibih, and M. Tahrichi. Superconvergent
Nyström and degenerate kernel methods for eigenvalue problems. Appl.
Math. Comput., 217(20):7851–7866, 2011.

[2] A.B. Andreev, V.A. Kascieva, and M. Vanmaele. Some results in lumped
mass finite-element approximation of eigenvalue problems using numer-
ical quadrature formulas. J. Comput. Appl. Math., 43(3):291–311, 1992.

[3] K. Atkinson. Convergence rates for approximate eigenvalues of compact

integral operators. SIAM J. Numer. Anal., 12(2):213–222, 1975.

18
 [4] K. Atkinson. The numerical solution of integral equations of the second
kind. Cambridge University Press, Cambridge, 1997.
[5] J. S. Azevedo, M. A. Murad, M. R. Borges, and S. P. Oliveira. A space–
time multiscale method for computing statistical moments in strongly
heterogeneous poroelastic media of evolving scales. Int. J. Numer. Meth.
Engrg., 90(6):671–706, 2012.
[6] J. S. Azevedo and S. P. Oliveira. A numerical comparison between quasi-
Monte Carlo and sparse grid stochastic collocation methods. Commun.
Comput. Phys., 12:1051–1069, 2012.
[7] A. Baggeroer. A state-variable approach to the solution of Fredholm
integral equations. IEEE Trans. Inform. Theory, 15(5):557–570, 1969.
[8] Z. Bažant and Y. Li. Stability of cohesive crack model: Part II – eigen-
value analysis of size effect on strength and ductility of structures. J.
Appl. Mech., 62:965–969, 1995.
[9] H. Brakhage. Zur Fehlerabschätzung für die numerische Eigenwertbes-
timmung bei Integralgleichungen. Numer. Math., 3:174–179, 1961.
[10] H. Brunner, A. Iserles, and S. P. Nørsett. The spectral problem for a
class of highly oscillatory Fredholm integral operators. IMA J. Numer.
Anal., 30(1):108–130, 2010.
[11] C. Buell. Integral equation representation for factor analysis. J. Atmos.
Sci., 28(8):1502–1505, 1971.
[12] A. Van Buren and J. Boisvert. Accurate calculation of prolate spheroidal
radial functions of the first kind and their first derivatives. Q. Appl.
Math., 60(3):589–599, 2002.
[13] C. Canuto, M. Hussaini, A. Quarteroni, and T. Zang. Spectral methods:
Fundamentals in Single Domains. Springer-Verlag, New York, 2006.
[14] P. Ciarlet. The Finite Element Method for Elliptic Problems. SIAM,
Philadelphia, 2002.
[15] F. R. DiNapoli and F. H. Middleton. Surface-wave propagation in a
continuously stratified medium. J. Acoust. Soc. Am., 39(5A):899–903,
1966.

19
[16] F. A. Dorini and M. C. C. Cunha. Statistical moments of the random
linear transport equation. J. Comput. Phys., 227(19):8541–8550, 2008.

[17] M. Eiermann, O. Ernst, and E. Ullmann. Computational aspects of the

stochastic finite element method. Comput. Vis. Sci., 10(1):3–15, 2007.

[18] N. Evans and J. Read. Stability of power-law discs – I. The Fredholm

integral equation. Mon. Not. R. Astron. Soc., 300(1):83–105, 1998.

[19] R. Ghanem and P. Spanos. Stochastic Finite Element: A Spectral

Aproach. Springer, New York, 1991.

[20] M. Girolami. Orthogonal series density estimation and the kernel eigen-
value problem. Neural Comput., 14(3):669–688, 2002.

[21] I. G. Graham, F. Y. Kuo, D. Nuyens, R. Scheichl, and I. H. Sloan.

Quasi-Monte Carlo methods for elliptic PDEs with random coefficients
and applications. J. Comput. Phys., 230(10):3668–3694, 2011.

[22] G. Karniadakis and S. Sherwin. Spectral/hp element methods for com-

putational fluid dynamics. 2nd ed. Oxford University Press, Oxford,
2005.

[23] H. B. Keller. On the accuracy of finite difference approximations to

the eigenvalues of differential and integral operators. Numer. Math.,
7:412–419, 1965.

[24] K. Khare. Sampling theorem, bandlimited integral kernels and inverse

problems. Inverse Probl., 23(4):1395–1416, 2007.

[25] M. Loève. Probability Theory II, 4th ed. Spring-Verlag, New York, 1978.

[26] Z. Lu and D. Zhang. Analytical solutions to statistical moments for

transient flow in two-dimensional, bounded, randomly heterogeneous
media. Water Resour. Res., 41:W01016, 2005.

[27] S. P. Oliveira and G. Seriani. Effect of element distortion on the numer-

ical dispersion of spectral element methods. Commun. Comput. Phys.,
9(4):937–958, 2011.

20
[28] K. K. Phoon, S. P. Huang, and S. T. Quek. Implementation of
Karhunen-Loève expansion for simulation using a wavelet-Galerkin
scheme. Prob. Eng. Mech., 17(3):293–303, 2002.

[29] C. Schwab and R. Todor. Karhunen-Loeve approximation of ran-

dom fields by generalized fast multipole methods. J. Comput. Phys.,
217(1):100–122, 2006.

[30] I. Sloan. Iterated Galerkin method for eigenvalue problems. SIAM J.

Numer. Anal., 13(5):753–760, 1976.

[31] A. Spence. Error bounds and estimates for eigenvalues of integral equa-
tions. Numer. Math., 29:133–147, 1978.

[32] T. Tang, X. Xu, and J. Cheng. On spectral methods for Volterra integral
equations and the convergence analysis. J. Comput. Math, 26:825–837,
2008.

[33] R. Todor. Robust eigenvalue computation for smoothing operators.

SIAM J. Numer. Anal., 44(2):865–878, 2006.

[34] J. Wang. On the numerical computation of eigenvalues and eigenfunc-

tions of compact integral operators using spline functions. J. Inst. Math.
Appl., 18(2):177–188, 1976.

[35] E. Wolf. New theory of partial coherence in the space-frequency domain.

part I: spectra and cross spectra of steady-state sources. J. Opt. Soc.
Am., 72(3):343–351, 1982.

21