Local Polynomial Chaos For High Dimensional SDE

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Local polynomial chaos expansion method for high

dimensional stochastic differential equations
Yi Chen
Purdue University
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Graduate School Form
30 Updated
PURDUE UNIVERSITY
GRADUATE SCHOOL
Thesis/Dissertation Acceptance
This is to certify that the thesis/dissertation prepared
By YI CHEN
Entitled
LOCAL POLYNOMIAL CHAOS EXPANSION METHOD FOR HIGH DIMENSIONAL STOCHASTIC DIFFERENTIAL
EQUATIONS
For the degree of Doctor of Philosophy
Is approved by the final examining committee:
Dongbin Xiu
Co-chair
Suchuan Dong
Co-chair
Peijun Li
Guang Lin
To the best of my knowledge and as understood by the student in the Thesis/Dissertation

Agreement, Publication Delay, and Certification Disclaimer (Graduate School Form 32),
this thesis/dissertation adheres to the provisions of Purdue University’s “Policy of
Integrity in Research” and the use of copyright material.
Approved by Major Professor(s): Dongbin Xiu
Approved by: David Goldberg 6/6/2016
Head of the Departmental Graduate Program Date

LOCAL POLYNOMIAL CHAOS EXPANSION METHOD
FOR HIGH DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS
A Dissertation
Submitted to the Faculty
of
Purdue University
by
Yi Chen
In Partial Fulfillment of the
Requirements for the Degree
of
Doctor of Philosophy
August 2016
Purdue University
West Lafayette, Indiana

ii
To my beloved ones:
my parents, my grandparents, and many others.
iii
ACKNOWLEDGMENTS
First of all, I would like to express my deepest gratitude to my major advisor, Prof.
Dr. Dongbin Xiu. I appreciate all his contributions of time, wisdom and funding that
result in a productive and stimulating Ph.D. experience for me. I was motivated by
his enthusiasm and creativity in research. He also serves as a role model to me as a
member of academia.
I would like to thank Prof. Suchuan Dong, Prof. Peijun Li and Prof. Guang Lin
for serving as committee members for the past a few years. Special thanks to Prof.
Suchuan Dong for being the co-chair of the committe while Prof. Dongbin Xiu is in
Utah. Their guidance has served me well and greatly improved the quality of my
dissertation.
I wish to acknowledge the help provided by Dr. Claude Gittelson and Dr. John
Jakeman for the work to overcome the challenges in local polynomial chaos method-
ology and numerical experiments. This work became my first published paper.
Dr. Xueyu Zhu deserve my sincere thanks for providing insightful comments
and contributions to the work of validations of local polynomial chaos methodol-
ogy. Together, we draw the connection between strategies of stochastic PDEs and
deterministic PDEs. This work becames the highlight of my research.
I would like to thank all my colleagues in Mathematics Department. Shuhao Cao,
Xuejing Zhang and Jing Li are the ones who provided guidance and help in di↵erent
research areas. Many thanks to my formal roommate Nan Ding and Xiaoxiao Chen
and many other friends for the help and support when I was having health issues in
2013.
Finally, I would like to say thanks to my beloved ones. This thesis is dedicated to
them.
iv
TABLE OF CONTENTS
Page
LIST OF FIGURES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vi
ABBREVIATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
ABSTRACT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . x
1 INTRODUCTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.2.1 Generalized Polynomial Chaos . . . . . . . . . . . . . . . . . 4
1.2.2 Stochastic Galerkin Method . . . . . . . . . . . . . . . . . . 6
1.2.3 Stochastic Collocation Method . . . . . . . . . . . . . . . . . 7
1.3 Research Outline . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2 LOCALIZED POLYNOMIAL CHAOS METHODOLOGY . . . . . . . . 15
2.1 Problem Setup . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.1.1 PDE with Random Inputs . . . . . . . . . . . . . . . . . . . 15
2.1.2 Domain Partitioning . . . . . . . . . . . . . . . . . . . . . . 17
2.1.3 Definition of Subdomain Problem . . . . . . . . . . . . . . . 18
2.2 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.2.1 Local Parameterization of Subdomain Problems . . . . . . . 19
2.2.2 Solutions of the Subdomain Problems . . . . . . . . . . . . . 24
2.2.3 Global Solution via Sampling . . . . . . . . . . . . . . . . . 27
3 ERROR ANALYSIS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
3.1 Error Contributions . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
3.2 Computational Complexity . . . . . . . . . . . . . . . . . . . . . . . 33
3.3 Choice of Subdomain and Spatial Discretization. . . . . . . . . . . . 34
4 FURTHER VALIDATION . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.1 Application to Stochastic Elliptic Equation . . . . . . . . . . . . . . 37
4.1.1 Subdomain Problems and Interface Conditions . . . . . . . . 37
4.1.2 Parameterized Subdomain Problems . . . . . . . . . . . . . 38
4.1.3 Recovery of Global Solutions . . . . . . . . . . . . . . . . . . 38
4.2 Connection with the Schur Complement . . . . . . . . . . . . . . . 39
4.2.1 The Classical Steklov-Poincare . . . . . . . . . . . . . . . . . 39
4.2.2 Steklov-Poincare in Local PCE . . . . . . . . . . . . . . . . 41
4.2.3 The Classical Schur Complement . . . . . . . . . . . . . . . 43
4.2.4 The Local PCE Approach - Local Problem . . . . . . . . . . 44
v
Page
4.2.5 The Local PCE Approach - The Interface Problem . . . . . 47
4.3 A Practical Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . 52
5 NUMERICAL EXAMPLES . . . . . . . . . . . . . . . . . . . . . . . . . 55
5.1 1D Elliptic Problem with Moderately Short Correlation Length . . 56
5.2 2D Elliptic Problem with Moderate Correlation Length . . . . . . . 59
5.3 2D Elliptic Problem with Short Correlation Length . . . . . . . . . 62
5.4 2D Di↵usion Equation with a Random Input in Layers . . . . . . . 65
5.5 2D Di↵usion Equation with a Random Input in Di↵erent Direction 70
5.6 A 2D Multiphysics Example . . . . . . . . . . . . . . . . . . . . . . 74
5.7 Computational Cost . . . . . . . . . . . . . . . . . . . . . . . . . . 79
6 SUMMARY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
REFERENCES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
VITA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
vi
LIST OF FIGURES
Figure Page
1.1 2-dimensional interpolation grids based on Clenshaw-Curtis nodes (1-dimensional
extrema of Chebyshev polynomials) at level k = 5. Left: tensor product
grids. Right: Smolyak sparse grids. . . . . . . . . . . . . . . . . . . . . 13
2.1 Eigenvalues vs. their indices, for the global and local Karhunen-Loève
expansion of covariance function C(x, y) = exp( (x y)2 /`2 ) in [ 1, 1]2
with ` = 1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.2 Eigenvalues versus their indices, for the global and local Karhunen-Loève
expansion of covariance function C(x, y) = exp( (x y)2 /`2 ) in [ 1, 1]2
with ` = 0.2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
5.1 Errors in the local gPC solutions with respect to increasing isotropic sparse
grid levels, with di↵erent dimensions d of the local KL expansion. . . . 58
5.2 Errors in the local gPC solutions with respect to increasing isotropic sparse
grid level, with di↵erent number of subdomains K. (The dimension d in
the subdomains is determined by retaining all eigenvalues of the local KL
expansion for up to machine precision.) . . . . . . . . . . . . . . . . . . 58
5.3 The first ten eigenvalues of the local Karhunen-Loève expansion for co-
variance function C(x, y) = exp( (x y)2 /`2 ) in [ 1, 1]2 with ` = 1. . 59
5.4 Errors, measured against the auxiliary reference solutions, in the local
gPC solutions with respect to increasing local gPC order. The local KL
expansion is fixed at d(i) = 4. . . . . . . . . . . . . . . . . . . . . . . . 60
5.5 Errors in the local 4th-order gPC solutions with respect to increasing
dimensionality of the local KL expansions, using 4 ⇥ 4, 8 ⇥ 8, and 16 ⇥ 16
subdomains. (` = 1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.6 The first ten eigenvalues of the local Karhunen-Loève expansion for co-
variance function C(x, y) = exp( (x y)2 /`2 ) in [ 1, 1]2 with ` = 0.2. 62
5.7 Errors, measured against the auxiliary reference solutions, in the local
gPC solutions with respect to increasing local gPC order. The local KL
expansion is fixed at d(i) = 4. . . . . . . . . . . . . . . . . . . . . . . . 63
5.8 Errors in the local 4th-order gPC solutions with respect to increasing
dimensionality of the local KL expansions, using 4 ⇥ 4, 8 ⇥ 8 and 16 ⇥ 16
subdomains. (` = 0.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
vii
Figure Page
5.9 A realization of the input random field a(x, Z) with distinct means values
in each layer indicated above and the corresponding full finite element
solution. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
5.10 The corresponding full finite element solution (reference solution) of the
realization of the input a(x, Z) with distinct means values in each layer
indicated above. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
5.11 Errors, measured against the auxiliary reference solutions, in the local gPC
solutions with respect to increasing gPC order. The local KL expansion
is fixed at d(i) = 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
5.12 Errors in the local 4-th order gPC solutions with respect to increasing
dimensionality of the local KL expansions, using 4 ⇥ 4, 8 ⇥ 8 and 16 ⇥ 16
subdomains. (` = 0.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
5.13 One realization of the input a with randomness in di↵erent directions . 71
5.14 The corresponding full finite element solution (reference solution) of stochas-
tic elliptic problem with the realization of the input a with randomness in
di↵erent directions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
5.15 Global mesh and the skeleton degree of freedoms as a total resolution of
16 ⇥ 16 ⇥ 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
solutions using 4 ⇥ 4 ⇥ 5 subdomains with respect to increasing gPC order.
The local KL expansion is fixed at d(i) = 4 (` = 0.4). . . . . . . . . . . 73
5.17 Errors in the 2nd-order gPC solutions in with respect to increasing dimen-
sionality of the local KL expansions, using 4 ⇥ 4 ⇥ 5 subdomains (` = 0.4). 74
5.18 One realization of the input a with correlation length ` = 0.5. . . . . . 75
5.19 The corresponding full finite element solution (reference solution) of 2D
multiphysics example . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
5.20 Global mesh and its corresponding subdomains as a total resolution of
64 ⇥ 64 ⇥ 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
solutions using 5 subdomains with respect to increasing gPC order. The
local KL expansion is fixed at d(i) = 4 (` = 0.5). . . . . . . . . . . . . . 77
5.22 Errors in the 2nd-order gPC solutions in with respect to increasing dimen-
sionality of the local KL expansions, using 5 subdomains (` = 0.5). . . 78
viii
5.23 Computational cost in term of operation count versus the number of sub-
domains used by the local gPC method for 2 ⇥ 2, 4 ⇥ 4, 8 ⇥ 8, 16 ⇥ 16
subdomains, along with the cost by the full global FEM method. . . . 80
ix
ABBREVIATIONS
PDEs Partial Di↵erential Equations

FEM Finite Element Method
PC Polynomial Chaos
gPC Generalized Polynomial Chaos
PCE Polynomial Chaos Expansion
CoD Curse of Dimensionality
x
ABSTRACT
Chen, Yi PhD, Purdue University, August 2016. Local Polynomial Chaos Expansion
Method for High Dimensional Stochastic Di↵erential Equations. Major Professor:
Dongbin Xiu.
Polynomial chaos expansion is a widely adopted method to determine evolution

of uncertainty in dynamical system with probabilistic uncertainties in parameters.
In particular, we focus on linear stochastic problems with high dimensional random
inputs. Most of the existing methods enjoyed the efficiency brought by PC expansion
compared to sampling-based Monte Carlo experiments, but still su↵ered from rela-
tively high simulation cost when facing high dimensional random inputs. We propose
a localized polynomial chaos expansion method that employs a domain decomposition
technique to approximate the stochastic solution locally. In a relatively lower dimen-
sional random space, we are able to solve subdomain problems individually within the
accuracy restrictions. Sampling processes are delayed to the last step of the coupling
of local solutions to help reduce computational cost in linear systems. We perform
a further theoretical analysis on combining a domain decomposition technique with
a numerical strategy of epistemic uncertainty to approximate the stochastic solution
locally. An establishment is made between Schur complement in traditional domain
decomposition setting and the local PCE method at the coupling stage. A further
branch of discussion on the topic of decoupling strategy is presented at the end to
propose some of the intuitive possibilities of future work. Both the general math-
ematical framework of the methodology and a collection of numerical examples are
presented to demonstrate the validity and efficiency of the method.
1
1. INTRODUCTION
1.1 Overview
The growing need to conduct uncertainty quantification (UQ) for practical prob-
lems has stimulated fast development for solutions of stochastic partial di↵erential
equations (sPDE). Many techniques have been proposed and investigated. One of
the more adopted methods is generalized polynomial chaos (gPC), which will be cov-
ered briefly in the next section. In general, one seeks a polynomial approximation of
the solution in the random space. Motivated by N. Wiener’s work of homogeneous
chaos [1], the polynomial chaos methods utilized Hermite orthogonal polynomials in
their earlier development [2], and were generalized to other types of orthogonal poly-
nomials corresponding to more general non-Gaussian probability measures [3]. Many
numerical techniques, such as stochastic Galerkin and stochastic collocation meth-
ods, have been developed in conjunction with the gPC expansions. In many cases,
the gPC based methods can be much more efficient than the traditional stochastic
methods such as Monte Carlo sampling, perturbation methods, etc. The properties
of the gPC methods, both theoretical and numerical, have been intensively studied
and documented. See, for example, [2–9]. For a review of the gPC type methods,
see [10].
One of the most outstanding challenges facing the gPC based methods, as well
as many other methods, is the curse of dimensionality. This refers to the fast, often
exponential, growth of simulation e↵ort when the random inputs consist of a large
number of (random) variables. On the other hand, in many practical problems the
random inputs often are random processes with very short correlation structure, which
induce exceedingly high dimensional random inputs. Thus, the curse of dimensionality
2
becomes a salient obstacle for applications of the gPC methods, as well as many other
methods, in such situations.
Many techniques have been investigated to alleviate the difficulty by exploiting
certain properties, e.g., smoothness, sparsity, of the solutions. These include, for
example, (adaptive) sparse grids, [11–16], sparse discretization [17–19], multi-element
or hybrid collocation [20–25], `1 -minimization [26–28], ANOVA approach [29, 30],
dimension reduction techniques [31], multifidelity approaches [32, 33], to name a few.
Recently, exploiting the idea of domain decomposition methods (DDM) to allevi-
ate the computational cost and facilitate UQ analysis of multiscale and multi-physics
problems receives increased attention. One of the key open questions in the do-
main decomposition methods in the stochastic setting is how to construct proper
coupling conditions across the interface. The choice of coupling strategy roughly falls
into two types: (1) deterministic coupling. This refers to the coupling through the
sample of the solutions or the corresponding gPC expansion, which is a natural exten-
sion of deterministic coupling in the traditional domain decomposition methods, e.g.,
based on the Schur complement matrix in the stochastic Galerkin setting [34,35]. (2)
stochastic coupling. This refers to the coupling through either statistics or probability
density function (PDF) of the solutions. In a recent work [36], the authors proposed
to combine UQ at local subsystem with a system-level coordination via importance
sampling.
However, the sampling efficiency and quality of the coupling appears to be highly
dependent on the prior proposal of probability density function (PDF). Additionally,
estimation of the posterior PDF in high dimensional problems will render the numeri-
cal strategy ine↵ective. In [37], the authors explored the empirical coupling operators
in terms of functionals of the stochastic solution, i.e., by enforcing the continuity of
the conditional mean and variance.
I will propose a new method based on a non-overlapping domain decomposition
approach, called local polynomial chaos expansion method (local PCE), for the high
dimensional problems with random inputs of short correlation length [38]. The es-
3
sential features of the method are: (1) Local problems on each subdomain are of very
low dimension in the random space, regardless of the dimensionality of the original
problem. (2) Each local problem can be solved efficiently and completely indepen-
dently, by treating the boundary data as an auxiliary variable. (3) Correct solution
statistics are enforced by the proper coupling conditions.
In later chapters, I extend the previous work [37] and continue to analyze the
properties of the local PCE method. After presenting a brief review of the local PCE
method, we shall restrict our attention on revealing the intrinsic connection between
the Schur complement in the tradition DDM setting and the local PCE method at
the interface coupling stage, which is also instrumental in understanding the local
PCE method.
1.2 Preliminaries
Before we dive into the new localized strategy, I present a few basic notations and
theorems in the following three major topics.
• Generalized Polynomial Chaos
• Stochastic Galerkin Method
• Stochastic Collocation Method
They are not only prerequisites for details of further claims and proofs in the following
chapters, but also good explanations for implementation details of numerical experi-
ments. I will present a variety of numerical examples in Chapter 5, which implement
basic computational routines by Galerkin method and Collocation method. Other
then the listed topics, I also employed the finite element method (FEM) in spacial
decomposition and representations. However, I skip the introduction to FEM since it
is more like a tool I employed instead of a research topic I looked into. In addition,
FEM and its implementation has been well documented in a variety of materials.
4
1.2.1 Generalized Polynomial Chaos
The fundamental properties of generalized polynomials chaos is presented in this

section. Materials introduced here are based on [10]. To make it concise and easy to
follow, we focus on the globally smooth orthogonal polynomials for gPC expansions.
Other interesting types of gPC expansions such as piecewise polynomials are skipped,
since I did not employ any of such polynomials in practical examples. Further reading
could be found in [3].
Let Z be a random variable with a cumulative distribution function FZ (z) =
P (Z  z). Suppose z has finite moments,
Z
E(|Z| = |z|2m dFZ (z) < 1,
2m
m 2 N0 (1.1)
where N0 = {0, 1, 2, . . . }. A specific collections of orthogonal polynomial functions

are called the generalized polynomial chaos basis functions if they satisfy,
E[ m (Z) n (Z)] = n mn , m, n 2 N0 (1.2)
where
n = E[ 2
n (Z)], n 2 N0
are factors of normalization. If Z is discrete random variable, the orthogonality

property is,
X
E[ m (Z) n (Z)] = m (zi ) m (zi )pi = n mn , m, n 2 N0 . (1.3)
i
When Z is a continuous random variable, its probability density function exists,

dFZ (z) = ⇢(z)dz, and the orthogonality property is,
Z
E[ m (Z) n (Z)] = m (z) m (z)⇢(z)dz = n mn , m, n 2 N0 . (1.4)
The orthogonality property builds a correspondence between the random variable Z

and the collection of orthogonal gPC basis. To name a few, we have the following
correspondence established in years.
5
• Standard Gaussian random variable Z ⇠ N (0, 1) — Hermite polymonials
• Uniformly distributed random variable Z ⇠ U ( 1, 1) — Legendre polymonials
• Beta distributed random variable Z ⇠ B( 1, 1) — Jacobi polymonials
• Gamma distributed random variable Z ⇠ (k +1, 1, 0) — Laguerre polymonials
Refer to Table 5.1 in [10] for details of other commonly used distributions.
To define similar polynomial expansions for multiple random variables, we only
have to employ multivatiate gPC expansion. Let Z = (Z1 , Z2 , . . . , Zd ) be a random
vector with CDF FZ (z1 , z2 , . . . , zd ), where all Zi ’s are mutually independent. There-
Q
fore, FZ (z) = di=1 FZi (zi ). Let { k (Zi )}N k=0 2 PN (Zi ) be the univariate gPC basis
functions in the variable Zi with degree up to N , i.e,

Z
E[ m (Zi ) n (Zi )] = m (z) m (z)dFZi (z) = n mn , 0  m, n  N. (1.5)
Let i = (i1 , i2 , . . . , id ) 2 Nd0 be a multi index with |i| = i1 + i2 , + · · · + id . The

multivatiate gPC basis functions with N degree are the product of univariate gPC
polynomials with total degree being les than or equal to N , that is,
i (Z) = i1 (Z1 ) · · · id (Zd ), 0  |i|  N. (1.6)
Thus, the following holds,

Z
E[ i (Z), j (Z)] = i (z), j (z)dFZ (z) = i ij (1.7)
where i = E[ 2
i] = i1 ··· id are the factors of normalization and ij = i1 ji ··· id jd is
the d-variate Kronecker delta function. These polynomials span PdN with dimension
✓ ◆
N +d
dim PN =
d
, (1.8)
N
which is the linear space of all polynomials of degree less than or equal to N with
d variabls. When we apply classical approximation theory to any mean-square inte-
grable functions of Z with respect to the measure dFZ , we can have some conclusion
as
||f PN f ||L2dF ! 0, N !1 (1.9)
Z
6
where PN is the orthogonal projection operator. It is obvious that the dimension is

still increasing too fast with respect to d and N . The curse of dimensionality is there
proventing us from getting high accuracy in approximation with high dimensional
random variables Z. This is exactly what my localized strategy is going to avoid,
which will help reduce computation cost in a large scale. I pause here with enough
discussion of gPC expansion notations and issues. Then, I will dive into two commonly
used methods for solving stochastic systems in the next two sections.
1.2.2 Stochastic Galerkin Method
In this section, I present the framework of the generalized polynomial chaos

Galerkin method for solving stochastic systems such as stochastic partial di↵eren-
tial equations (sPDE).
Without loss of generality, for a physical domain D ⇢ Rl , l = 1, 2, 3, and T > 0,
the a stochastic PDE system could be represented as following,
8
>
> u (x, t, Z) = L(u), D ⇥ (0, T ] ⇥ Rd ,
>
< t
B(u) = 0, @D ⇥ [0, T ] ⇥ Rd , (1.10)
>
>
>
: u=u ,
0 D ⇥ [t = 0] ⇥ Rd ,
where L is the di↵erential operator, B is the boundary condition operator and u0 is

the initial condition. Z = (Z1 , Z2 , . . . , Zd ) 2 Rd , d 1, are mutually independent
random variables featuring the random inputs of the equation system. Consider a
simple representation of u as scaler function, i.e,
u(x, t, Z) : D̄ ⇥ [0, T ] ⇥ Rd R, (1.11)
we will apply apply gPC expansion to each existence of u. As discussed in the gPC
basic notations, { k (Z)} is the set of gPC basis functions satisfying
E[ i (Z), j (Z)] = i ij . (1.12)

7
Suppose PdN (Z) is the space of polynomials of Z with degree up to N . For any
fixed x and t, the gPC projection of the solution u to PdN (Z) is,
N
X 1
uN (x, t, Z) = ûi (x, t) i (Z), ûi (x, t) = E[u(x, t, Z) i (Z)]. (1.13)
i
|i|=0
However, without the knowledge of the unknown solution u, the projection approxi-
mation is not of much use serving for our goal. Here comes the Galerkin method that
is a natural extension of the classical Galerkin method for deterministic problems.
We seek an approximation solution in PdN s.t. the residue of the equation system is
orthogonal to the space PdN . A standard procedure is shown as following: for any x
and t, we seek a polynomial vN 2 PdN as,
N
X
vN (x, t, Z) = v̂i (x, t) i (Z), (1.14)
|i|=0
such that for all k that |k|  N ,

8
>
> E[@t vN (x, t, Z) k (Z)] = E[L(vN ) D ⇥ (0, T ],
> k ],
<
E[B(vN ) k ] = 0, @D ⇥ [0, T ], (1.15)
>
>
>
: v̂ = û ,
k 0,k D ⇥ [t = 0],
where v̂0,k are the coefficients of gPC projection of the initial condition u0 . This
system is a deterministic equation system due to the expectation operation (integral
N +d
w.r.t Z). It is usually a coupled system with size N
= dim PdN . A few discussions
on the topic of di↵usion equations were firstly proposed in [8], [39] and later analyzed
in [40]. For nonlinear problems, [41] has a discussion of super-sensitivity.
Up to this point, we have the framework described while the curse of dimension-
ality shows up again as the size of the coupled system is easily to be out of control
in practical exercises.
1.2.3 Stochastic Collocation Method
In this section, I will briefly cover the general ideas of the stochastic collocation
(SC) method, which is also referred to as the probabilistic collocation method. Its
8
systematic introduction could be found in [42]. A few notations of SC method will

be introduced and two major numerical interpolation approaches will be discussed,
i.e, Tensor Product Collocation and Sparse Grid Collocation.
Collocation method, unlike the Galerkin method, requires the residue of the gov-
erning system equations to be zero on prescribed nodes in the domain. These nodes
are also called collocation points, which is widely studied in the deterministic nu-
merical analysis. Take the same sPDE system as it in Galerkin method section as
example,
8
>
> u (x, t, Z) = L(u), D ⇥ (0, T ] ⇥ Rd ,
>
< t
B(u) = 0, @D ⇥ [0, T ] ⇥ Rd , (1.16)
>
>
>
: u=u ,
0 D ⇥ [t = 0] ⇥ Rd ,
where d 1. Assume w(·, Z) is a numerical approximation to the actual solution
u for a fixed x and t. Obviously 1.16 cannot be satisfied over all Z when using the
approximation solution w. But we can make them exact on a collection of points.
Let ⇥M = {Z (j) }M
j=1 ⇢ IZ be a collection of prescribed nodes in the random space,
where IZ is the support of Z and M  1 is the total number of nodes. Then, by

enforcing the following deterministic system, we have the collocation method formu-
lation, for j = 1, 2, . . . , M
8
>
> u (x, t, Z (j) ) = L(u), D ⇥ (0, T ],
>
< t
B(u) = 0, @D ⇥ [0, T ], (1.17)
>
>
>
: u=u ,
0 D ⇥ [t = 0].
As long as the original problem has a well-defined deterministic algorithm, the col-
location system showed above could be easily solved for each j. Assume we have
the solution to the above problems, namely u(j) = u(·, Z (j) ), j = 1, 2, . . . , M . We
can employ a variety of numerical methods to do the post-processing of u(j) ’s to (ap-
proximately) obtain any kind of detailed information of the exact solution u(Z). A
straight forward example is Monte Carlo sampling method, which randomly gener-
ate sample points Z (j) depending on the distribution of Z. Another good example
9
is deterministic sampling method, which usually use nodes of quadrature rules in

multi-dimensions. The convergence of these methods is usually based on the solution
statistics, i.e, mean, variance, moments, which is in the sense of weak convergence.
In the following paragraphs, I will go over the framework of interpolation approach
which will give the convergence in the sense of strong convergence (Lp norm).
It is natural to adopt interpolation approach to stochastic collocation problem by
letting the approximating solution w be exact on a collection of nodes. Therefore,
given the nodal set ⇥M ⇢ |Z and {u(j) }M
j=1 , we seek a polynomial w(Z) in a proper
polynomial space ⇧(Z) such that w(Z (j) ) = u(j) for all j = 1, 2, . . . , M .
The Lagrange interpolation is one straightforward approach for that goal,
M
X
w(Z) = u(Z (j) )Lj (Z), (1.18)
j=1
where
Lj (Z (k) )) = jk , 1  j, k  M, (1.19)
It is easy to implement Lagrange interpolation, but the trade o↵ is that many funda-
mental issues of Lagrange interpolation with high dimension (d 1) are not clear.
Another approach is to adopt the matrix inversion method. We will pre-decide
the polynomial basis for the interpolation, e.g., we choose the collection of gPC basis
k (Z) and naturally build the approximation function as,
N
X
wN (Z) = ŵk k (Z). (1.20)
|k|=0
where ŵk ’s are the unknown coefficients. Then, we apply the interpolation condition
w(Z (j) ) = u(j) for j = 1, 2, . . . , M , which gives,
AT ŵ = u (1.21)
where
(j)
A=( k (Z )), 0  |k|  N, 1  j  M, (1.22)
is the coefficient matrix, u = (u(Z (1) ), u(Z (2) ), . . . , u(Z (M ) ))T and ŵ is the unknown
N +d
vector of coefficients. It is obvious that we have to make sure M N
such that
10
the system is not under-determined. On one side, it is good to use matrix inversion
method, since nodal set is given and we can guarantee the existence of interpolation
by examining A and its determinant. On the other hand, issues and concerns are still
there with accuracy of the approximation. Zero interpolation errors on nodes does not
guarantee a good approximation result in the place between nodes, it is particularly
true in multidimensional cases. Though, we know that using nodes that are zeros of
the orthogonal polynomials { k (Z)} will o↵er relatively high accuracy, there is still
no universal approaches that would provide satisfactory for general purposes, but we
can still find a few good candidates.
Tensor Product Collocation
It is natural to consider employing a univariate interpolation and fill the entire

space on each single dimension, which brings up the Tensor Product Collocation ap-
proach. By doing so, most of the error analysis and nice features would be maintained
in the multi-variate interpolation.
For any 1  i  d, let Qmi be the interpolating operator such that,
Qmi [f ] = umi f (Zi ) 2 Pmi (Zi ) (1.23)
is an interpolating polynomial of degree mi , for a given function f in the Zi variable.

(1) (mi +1)
It used mi + 1 nodes, namely ⇥m
1 = {Zi , ..., Zi
i
}. Then, to interpolate f in the
entire space IZ ⇢ Rd is to use the tensor product of interpolating operators,
QM = Q m1 ⌦ · · · ⌦ Qmd (1.24)
where the collection of nodes is,
md
⇥ M = ⇥m
1 ⇥ · · · ⇥ ⇥1
1
(1.25)
and M = m1 ⇥ · · · ⇥ md . Most of the properties of the 1D interpolation approach

are retained when we adopt the tensor product collocation method. Error analysis
for the entire space could be derived from the 1D error bound. To simplify the
11
argument, we assume the number of nodes in each dimension stay the same, i.e.,
m1 = m2 = · · · = md = m, then the 1D interpolation error in the i-th dimension is,
↵
(I Qmi )[f ] / m (1.26)
where ↵ depends on the smoothness of the function f . The total interpolation error
follows,
↵/d
(I QM )[f ] / M , d 1, (1.27)
where we substitute m by M 1/d . This is an unfortunate situation for convergence,

since the convergence rate decreases rapidly when d ! 1. Additionally, the size of the
collection of nodes is large M = md . For large d, it is something that we cannot(don
not want) to a↵ord in computation, since each collocation node will require to solve
the deterministic governing problem once in whatever numerical approach you choose.
This brings up the curse of dimensionality again and could only be accepted with low
dimensional PDE systems (It works well when d  5). See [43] for details about
stochastic di↵usion equations.
Sparse Grid Collocation
Using Smolyak sparse grid is another (better) approach compared to tensor prod-
uct approach. It is firstly proposed in [44], and is studied by many researchers recently.
To briefly present its core idea, it is important to know that Smolyak sparse grids are
just a (proper) subset of the full tensor grids. It can be constructed by the following
form (given in [45]),
X ✓ ◆
N |i| d 1
QN = ( 1) · · (Qi1 ⌦ · · · ⌦ Qid ) (1.28)
N |i|
N d+1|i|N
where N d is the level of the construction. 1.28 confirms that Smolyak sparse grid
is a combination of subsets of tensor product grids. The chosen nodes are,
[
⇥M = (⇥i11 ⇥ · · · ⇥ ⇥i1d ) (1.29)
N d+1|i|N
12
It is hard to give a close form of number of nodes in ⇥M in term of M and N .

It is interesting and helpful if we decides to let 1D nodal sets be nested, which is
given by the following definition,
⇥i1 ⇢ ⇥j1 , i < j. (1.30)
Studies show that the total number of nodes in 1.29 is minimized when we have the
nested nodal sets. Bad news is that if we adopt the nodes as zeros of orthogonal
polynomials, we will not have such a nice nesting property.
We can turn to a popular choice of Clenshaw-Curtis nodes, which are the extrema
of the well-known Chebyshev polynomials, for a given integer i in the range [1, d],
(j) ⇡(j 1)
Zi = cos , j = 1, 2, . . . , mki (1.31)
mki 1
where we use k to index the node set with di↵erent size in the nested manner. With
increasing index k, the size of node set is almost doubled for each increment on k,
i.e., mki = 2k 1
+ 1, and the conner case is defined as m1i = 1 and Z (1) = 0. It is
easy to verify the nesting property for this setting. And we denote the index k as the
level of Clenshaw-Curtis grids. It is obvious that the larger k is, the finer the grids.
See [46] for details.
Though there is no explicit closed form for the total number of nodes in the nodal
set, we have a rough estimate of that amount as following,
2k d k
M = |⇥k | ⇠ , d 1. (1.32)
k!
Studies has be done in [47] that the Clenshaw-Curtis sparse grid interpolation gives
d+k
exact representation of functions in Pdk . When d 1, we have dim Pdk = d
⇠
dk /k!. Therefore, to accurately represent a function in Pdk , we need approximately a
2k multiplicative constant, which is irrelevant to dimension d. A fundamental result
in [47] gives a boundary of the approximation error.
Theorem 1.2.1 For functions in space Fdl = {f : [ 1, 1]d ! R|@ |i| f continuous, ik 
l, 8k}, the interpolation error is bounded by,
||I QM ||1  Cd,l M l (logM )(l+2)(d 1)+1

13
This error estimation shows a little bit better bound, but still su↵ers from the curse
of dimensionality when d is getting larger and larger. However, the reduction in the
size of nodal set could be well observerd as shown in Figure 1.1
Figure 1.1. 2-dimensional interpolation grids based on Clenshaw-

Curtis nodes (1-dimensional extrema of Chebyshev polynomials) at
level k = 5. Left: tensor product grids. Right: Smolyak sparse grids.
1.3 Research Outline
With the basic tools introduced in the previous sections, we can dive into de-
tails of a numerical method that solves stochastic partial di↵erential equations with
a local solver and a global coupling strategy. The primary methodology/routine is
introduced in Chapter 2 with general cases and a detailed example for di↵usion equa-
tions. The method is designed not to be limited in a specific type of equations, but
a good example will make reader easily understand how it works and what to expect
in details. In Chapter 3, a brief error analysis and discussion is proposed and exam-
ined. To further validate the methodology and build connections/relationships with
local strategy for deterministic problems, I provide the Chapter 4 as a guide to the
comparision with the Steklov-Poincare interface equation and the classical Schur com-
plement. A variety of numerical examples including 1D and 2D di↵usion equations
and a multiphysics example are presented in Chapter 5.
14
The text of this dissertation includes some reprints of the the following papers,
either accepted or submitted for consideraton at the point of publication. The dis-
sertation author was the author of these publicatons.
Y. Chen, X. Zhu, and D. Xiu, Properties of Local Polynomial Chaos Expansion
for Linear Di↵erential Equations, 2016.
Y. Chen, J. Jakeman, C. Gittelson and D. Xiu, Local Polynomial Chaos Expansion
for Linear Di↵erential Equations with High Dimensional Random Inputs, SIAM J. Sci.
Comput., 2014. 37(1), A79A102.
15
2. LOCALIZED POLYNOMIAL CHAOS METHODOLOGY
2.1 Problem Setup
Consider the following setting of a partial di↵erential equation with random in-
puts. Let D ⇢ R` , ` = 1, 2, 3, be a physical domain with boundary @D and coordi-
nates x = (x1 , . . . , x` ) 2 D. Let ⌦ be the event space in a properly defined probability
space. Consider the following SPDE:
8
< L(x, u; a(x, !)) = f (x), in D ⇥ ⌦,
(2.1)
: B(x, u; a(x, !)) = 0, on @D ⇥ ⌦,
where L is a di↵erential operator, B is a boundary operator. The random input

a(x, !) is a random process on the physical domain, i.e.,
a(x, !) : D̄ ⇥ ⌦ ! R.
We make a fundamental assumption that the governing equation (2.1) is well posted
almost everywhere in the probability space ⌦. For simplicity of notation and without
loss of generality, we assume f (x) is deterministic.
2.1.1 PDE with Random Inputs
For the practical purpose, the random input usually needs to be parameterized
by a set of random variables. The parametrization usually employs a linear form of
a set of random variables, e.g.,
d
X
a(x, !) ⇡ ã(x, Z) = µa (x) + ↵i (x)Zi (!), (2.2)
i=1
where µa (x), {↵i (x)} and {Zi } are the mean, spatial functions and random variables,
respectively. A widely used method of the parametrization process is the so called
16
Karhunen-Loève (KL) expansion. Given a covariance function C(x, y) of the random

process a(x, !), where
C(x, y) = E[(a(x, !) µa )(a(y, !) µa (y))], (2.3)
The Karhunen-Loève (KL) expansion gives the parametrization, i.e.,

d p
X
KL
a(x, !) ⇡ ã (x, Z) = µa (x) + i i (x)Zi (!), (2.4)
i=1
where { i , i (x)} are the eigenvalues and eigenfunctions of the covariance function
such that,
Z
C(x, y) i (x)dx = i i (y), i = 1, 2, 3, . . . , x, y 2 D̄, (2.5)
D
and the random vector Z = (Z1 , Z2 , Z3 , . . . , ) are defined as follows,

Z
1
Zi (!) = p (a(x, !) µa (x)) i (x)dx, i = 1, 2, 3, . . . , (2.6)
i D
These random variables Z1 , Z2 , Z3 , . . . , statisfy E[Zi ] = 0 and E[Zi Zj ] = 0 by a simple

derivation of there definitions.
With the non-increasing ordering of eigenvalues in (2.5), one can usually truncate
the expansion in a finite number d as the eigenvalue decays to a sufficiently small
value. In fact, the decay rate of the eigenvalues depends on the correlation length of
covariance function C(x, y). Typically, the longer the correlation length, the faster the
decay and the smoother the random curve is, and vice versa. Therefore, a finite-term
series in the form of (2.2) is established in (2.4).
Upon such a parameterization of the global input a(x, !), the original SPDE (2.1)
is transformed into the following finite-dimensional problem with Z 2 Iz ⇢ Rd ,
8
< L(x, u; ã(x, Z)) = f (x), in D ⇥ ⌦,
(2.7)
: B(x, u; ã(x, Z)) = 0, on @D ⇥ ⌦,
As mentioned earlier, when the input a(x, !) has short correlation length, the
parameterized global inputs ãKL (x, Z) will have a larger number of terms. A slow
17
decay of the eigenvalues in KL expansion in (2.5) is observed by tons of experiments.

Consequently, the resulting high dimensional random space Z 2 Rd , d 1 makes the
problem very time consuming to solve, as most of the existing numerical methods,
e.g., stochastic Galerkin methods, stochastic collocation methods, su↵er from the
curse-of-dimensionality. Our goal is to propose a methodology to address this well
known issue and tackle this computational challenge.
Though Karhunen-Loève expansion (2.4) is employed in the exposition of our
method hereafter, we confirm that other types of input parameterization methods, in
the form of (2.2), can be readily used. The following methodology we present applies
equally well to other parameterization methods. It is always true that global input
of random processes with short correlation length results in high dimensional random
space, regardless of the exact form of the parameterization.
2.1.2 Domain Partitioning
Following our natural instinct, we decompose the spatial domain D into K non-
overlapping subdomains D(i) , i = 1, . . . , K, such that,
K
[
D̄ = D(i) , D(i) \ D(j) = ;, j 6= i. (2.8)
i=1
and the partition is geometrically conforming, i.e., the intersection between two clo-
sure of any two subdomains is either an entire edge, a vertex or empty.
The traditional deterministic domain decomposition method (DDM) always em-
ploy a specific coupling conditions as the subdomain interfaces. We will adopt a
similar approach on the interface. We assume that the original problem (2.1) can be
solved in each subdomain with proper coupling conditions at the interfaces. In fact,
under a suitable regularity assumption (e.g. f us square-summable and the bound-
aries of subdomains are Lipschitz [48]), the original problem (2.1) is equivalent to the
18
following local problem on each subdomain with proper coupling conditions. More
specifically, for each i = 1, . . . , K, let
8
>
> L(x, u(i) ; a(x, !)) = f (x), in D(i) ,
>
<
C (ij) (x, u(j) ; a(x, !)) = 0, on @D(i) \ @D(j) , j 6= i, (2.9)
>
>
>
: B(x, u(i) ; a(x, !)) = 0, on @D(i) \ @D,
where C (ij) stands for the coupling operator between neighboring subdomains D(i) and
D(j) . Then the global solution of the original problem can be naturally represented
in the following form,
K
X
u(x, !) = u(i) (x, !)ID(i) (x), (2.10)
i=1
where IA is the indicator function satisfying

8
< 1, x 2 A,
IA (x) = (2.11)
: 0, x2
/ A.
Note that this is quite a mild assumption on the governing equation (2.1). The
coupling operator C (ij) we refer to in (2.9) is exactly the coupling operator that is
widely used in traditional deterministic domain decomposition method. The specifi-
cation of the coupling operator C (ij) obviously depends on the problem.
2.1.3 Definition of Subdomain Problem
We make another fundamental assumption that each local problem (2.9) can be
well defined and be solved independently with a proper prescription of boundary
(i)
condition on the interface . Suitable boundary conditions to ensure the solvability
vary and depend on the type and nature of the underlining PDE model. For example,
for a large class of PDEs, it is enough to impose Dirichlet boundary data to guarantee
the well-posedness of the problem. That is, for each i = 1, ..., K,
8
< L(x, w(i) ; a(x, !)) = f (x), in D(i) ,
(2.12)
: w(i) = (i) (x, !), on (i) ⇢ @D(i) ,
19
(i)
is well defined problem with proper boundary data . Note that at this step,
each subdomain problem is independent of each other and bear no relation with the
solution of the original global problem (2.1), because they are uncoupled and satisfy
any Dirichlet boundary conditions. We tend to move the coupling process to later
stage to make our subdomain solver parallel or even reduced to a single subdomain
for some cases. It is also approved to apply any other type of boundary conditions to
make the subdomain problem independently solvable. We will continue our discussion
with the setup in (2.12)
2.2 Methodology
Given a specific domain partitioning stretagy, the general idea behind our local
polynomial chaos expansion is to solve independent sumdomain problems with arti-
ficial boundary conditions, e.g., the Derichlet conditions in (2.12). The idea relies
on the nature that we do not explicitly specify boundary conditions as deterministic
input values. Instead, we treat them as auxiliary variables or the so called unknown
parameters. We then seek a collection of numerical solutions of all existing equation
systems in (2.12) for i = 1, ..., K, that have functional dependence on input random
variables and auxiliary boundary variables. In the later stage, we sample the input
random variables and the couple local solutions under proper conditions to ensure a
global solution that satisfies the global problem (2.1).
2.2.1 Local Parameterization of Subdomain Problems
Though (2.1) is a localized version of the global problem (2.1), we still have to
make a parameterization to process the random input term a(x, !) in each subdomain
D(i) . It is also necessary to parametrize the boundary condition (i)
locally. Due to
the distinct nature of these two type of variables(parameters), in each subdomain
D(i) , we adopt di↵erent stretagy for them, i.e., local KL expansion for random input
20
parameters and numerical discretization in physical space for boundary condition

parameters.
Local KL Expansion
Recall the discussion in global parametrization of random input a(x, !), the decay
rate of the eigenvalues depends critically on the relative correlation length of the
process. This is the key to achieve the goal that we approximate local random input
with fewer required random parameters in each subdomain. A detailed workthrough
and is given in the following discussion.
In each subdomain i = 1, . . . , K, let
a(i) = a(x, !)ID(i) (x). (2.13)
be the input process in each subdomain D(i) . We denotes the mean of random input in
(i)
each subdomain as µa (x) = µa (x)ID(i) (x) in the same manner. The covariance func-
tion C(x, y) stay the same. Then the corresponding KL expansion can be obtained
as follows,
d
X q
(i)
(i) (i) (i) (i) (i) (i)

a (x, !) ⇡ ã (x, Z ) = µ(i)
a (x) + j j (x)Zj (x), (2.14)
j=1
(i) i
where { j , j} are the local eigenvalues and eigenvalues of
Z
(i) (i) (i)
C(x, y) j (x)dx = j j (y), j = 1, . . . , d(i) , x, y 2 D̄(i) , (2.15)
D (i)
(i) (i)
and the local random random variables Z (i) = (Z1 , . . . , Zd(i) ) are defined as follows:
Z
(i) 1 (i)
Zj (!) = q (a(i) (x, !) µ(i)
a (x)) j (x)dx, j = 1, . . . , d(i) . (2.16)
(i) D (i)
j
We have done a similar trunction at d(i) as it in the global KL expansion according

to any necessary accuracy requirement. To make it distinguishable from the global
KL expansion of random input a(x, !), we use a superscript (i) for subdomain D(i) .
21
(i)
The decay rate of eigenvalues j depends critically on the relative correlation length,
which has been shrinked by the domain partitioning process as we designed. That is,
for a given random process a(x, !) with a correlation length à in a physical domain
E, it is its the relative correlation length
à,E / à /È , (2.17)
where È scales as the diameter of the domain E, that determines the eigenvalue decay
rate. The longer the relative correlation length the faster the decay of the eigenvalues,
and vice versa. It is now obvious that, with the domain partitioning process, we
are able to make the size of each subdomain small enough to generate a relatively
reasonable correlation length for a parametrization of a reasonable (relativelly small)
number of random parameters, i.e., making di ⌧ d in (2.14).
This fact has been discovered and studied by a number of researchers. Here
we present a nice demonstration of eigenvalue decay of KL expansion in a two-
dimensional square domain D = [ 1, 1]2 for a Gaussian random process with co-
variance function C(x, y) = exp( (x y)2 /`2 ) with a fixed correlation length `. In
Figure 2.1, the correlation length is set as ` = 1. We show the eigenvalues of the
global KL expansion and eigenvalues of the local KL expansions with domain par-
titioning as (8 ⇥ 8), (16 ⇥ 16), and (32 ⇥ 32) square subdomains. A mach faster
eigenvalue decay pattern is observed in local KL expansion compared to the global
KL expansion. For example, to keep a certain level of total spectrum (about 95%),
the global KL requires d = 25 ⇠ 30 terms, whereas the (8 ⇥ 8) partitioning requires
only d(i) = 4 terms and the (32 ⇥ 32) partitioning only requires d(i) = 3 terms. In
Figure 2.2, a similar result is shown for the correlation length ` = 0.2. For this rela-
tive short correlation length, the eigenvalues of the global KL expansion decay much
slowly. It requires around d = 70 ⇠ 90 terms to capture about 95% of the spectrum.
On the other hand, the local KL expansion still only requires a much smaller number
of terms, i.e., around d(i0) = 5 on (8 ⇥ 8) partitioning and d(i) = 3 on (32 ⇥ 32) par-
titioning. The reduction in random input dimensionality is significant through these
demonstrations. The drastic reduction in random dimensionality by the local KL ex-
22
4
10
2 Global Eigenvalues
10
Local Eigenvalues on 8 × 8 subdomains
0
10 Local Eigenvalues on 32 × 32 subdomains
−2
10
−4
10
−6
10
−8
10
−10
10
−12
10
−14
10
−16
10
0 10 20 30 40 50 60 70 80 90
Figure 2.1. Eigenvalues vs. their indices, for the global and lo-
cal Karhunen-Loève expansion of covariance function C(x, y) =
exp( (x y)2 /`2 ) in [ 1, 1]2 with ` = 1.
2
10
1
10
0
10
−1
10
−2
10
−3
10
−4
10
Global Eigenvalues
−5
10 Local Eigenvalues on 16 × 16 subdomains
−6
10
−7
10
0 10 20 30 40 50 60 70 80 90 100
Figure 2.2. Eigenvalues versus their indices, for the global and
local Karhunen-Loève expansion of covariance function C(x, y) =
exp( (x y)2 /`2 ) in [ 1, 1]2 with ` = 0.2.
23
pansion is solely due to the use of smaller subdomains. It is natural to try to make as
refined partitioning as possible, but due to the computational cost issue, a relatively
(i)
refined partitioning is enough that lower the number of local random parameters Zj
to a reasonable range (e.g., single digit). The local KL expansion induces no addi-
tional errors, other than the standard truncation error of the remaining eigenvalues.
In fact, due to the much faster eigenvalue decay, we can a↵ord a local KL expansion
with much better accuracy compared to the global KL expansion. This will eliminate
the concern that is raised by local KL expansion error in parameterization.
It worth a remark that, with the local KL expansion parameterization, our local
(i)
random parameters Zj shall have dependence among themselves and across distinct
subdomains. Moreover, there exists a certain relationship between the local param-
(i)
eters Zj and the global random parameters Zj in the global KL expansion. It is
difficult and, to some extent, not necessary to identify such a relationship, i.e, the
resulting probability density distribution(PDF) of local random parameters. Instead,
(i)
the our method treat these parameters Zj as independent epistemic parameters.
We will eventually reconstruct the underlying dependence structure of the original
global problem in the sampling stage by imposing proper coupling conditions. Such
treatment is the foundational results of [38, 49, 50] and will be discussed in detail in
the following sections.
Parameterization of the Boundary Condition
The corresponding artificial boundary data in the subdomain problem (2.12) can
be parameterized based on the underlying numerical discretization in physical space.
For example, for a finite element discretization, the boundary data can be approxi-
mated as follows:
(i)
d
X
⇡ ˜(i) (x, B (i) ) =
(i) (i) (i)
bj (!)hj (x), (2.18)
i=1
(i) (i) (i)
where hj (x) is the finite element basis function and B (i) = (b1 , . . . , b (i) )T are the
d
corresponding expansion coefficients, which are unknown and will be solved during
24
(i) (i)
the coupling stage later on. Note that if hj (x) is a nodal finite element basis, bj
represents the exact nodal value at the boundary, which could be random.
2.2.2 Solutions of the Subdomain Problems
With the local parameterization, the subdomain problem (2.12) can be reformu-
lated as follows: for each i = 1, . . . , K,
8
< L(x, w̃(i) ; ã(i) (x, Z (i) ) = f (x), in D(i) ,
(2.19)
: w̃(i) = ˜(i) (x, B (i) ), on (i) ⇢ @D(i) .
(i)
Now, the solution depends on both local random parameters Z (i) ✓ Rd and the
(i)
boundary parameters B (i) ✓ Rd . We take range of these random parameters into
(i)
(i) (i) (i)
consideration. Let the ranges be IZ ✓ Rd and IB ✓ Rd , we have the following
description of our local solution,
(i) (i)
w̃(i) (x, Z (i) , B (i) ) : D(i) ⇥ IZ ⇥ IB ! R. (2.20)
For this general scenario, the solution w̃(i) resides in a d˜(i) = (d(i) + d )-dimensional
(i)
space in addition to the physical domain.
General Procedure
The probability distributions for Z (i) and B (i) are unknown. But we have the
following numerical method developed in [51, 52] to take care of this kind of issue.
Here, we briefly review a few key steps.
First, we define the following random parameters to wrap up both Z (i) and B (i) ,
e(i)
de(i) = d(i) + d ,
(i)
Y (i) = (Z (i) , B (i) ) 2 Rd , (2.21)
(i) e(i)
with its range IY ✓ Rd . We then focus on the solution dependence in the param-
(i) (i)
eter space, IY . We emphasize that the precise knowledge of the range IY and its
associated probability measure ⇢y is not available, which is, in fact, hard to obtain
25
and requires high computational cost. The method developed in [51, 52] proposes a
(i)
way to find a strong approximation of the solution in an estimated domain IX , which
(i)
is a tensor-product domain that encapsulates the real domain IY in each dimension.
We impose the following restriction on it,
(i) (i)
Prob(IX 4IY )  , 0, (2.22)
where 4 is the symmetric di↵erence operator between two sets and should be a
(i)
small real number. Note that can be zero if IX is sufficiently large to completely
(i)
encapsulate IY .
(i)
It was shown that, if a strong approximation ŵ(i) in IX , e.g., in a weighted LpW
norm, can be obtained such that, for any fixed x,
✏ = ŵ(i) (x, ·) e(i) (x, ·)

w (i)
LpW (IX )
⌧ 1, p 1, (2.23)
(i)
where W is a weight function specified in IX , then, the approximation ŵ(i) can be a
(i)
e(i) in the real domain IY with respect to the real probability
good approximation to w
⇢y in the following sense, (Theorem 3.2, [52])
ŵ(i) (x, ·) e(i) (x, ·)

w (i)
Lp⇢y (IY )
 C1 ✏ + C2 , (2.24)
where C1 and C2 are constants unrelated to ŵ(i) . Note that ŵ(i) can be obtained by
a standard numerical method, e.g., a gPC expansion using the specified measure W ,
(i)
in the well defined tensor domain IX .
One of the immediate results is that even though ŵ(i) is obtained via the weight W
unrelated to the true distribution ⇢y , its samples can be used as good approximations
e(i) . This fact is the foundation of the local gPC method here.
to the true samples of w
Simplification for Linear Equations
It is always good to examine and utilize the linearity in any collection of PDEs that
could simplify the underlying problem to a certain form. We have been looking into
26
the advantage of linear dependence of local solutions onto its boundary parameters,
we present the following formulation of a simplified problem.
Assume the original governing equation (2.1) is linear. The linearity ensures that
the solution is linear in terms of the boundary parameters B (i) . Therefore, instead of
solving (2.19) in the de(i) -dimensional parameter space, with de(i) = d(i) + d , it can be
(i)
(i)
solved (d + 1) times in the d(i) -dimensional space for Z (i) in the following manner.
Using the parameterization of the boundary condition (2.18), we define, for each
(i)
j = 1, . . . , d ,
8
< L(x, w (i)
ej (x, Z (i) ); e
a(i) (x, Z (i) )) = 0, in D(i) ,
(2.25)
: w (i) (i)
ej = hj (x), on (i) ✓ @D(i) .
We also define
8
< L(x, w (i)
e0 (x, Z (i) ); e
a(i) (x, Z (i) )) = f (x), in D(i) ,
(2.26)
: w (i)
e0 = 0, on (i) ✓ @D(i) .
(i)
Then, upon denoting b0 = 1, the solution of (2.19) is
(i)
d
X (i) (i)
e(i) (x, Z (i) , B (i) ) =
w ej (x, Z (i) ).
bj w (2.27)
j=0
Problem (2.25) and (2.26) are standard stochastic problems in the subdomain D(i) ,
with its random input e
a, parameterized via the local KL expansion of very low di-
(i)
mension d(i) , and deterministic boundary condition hj and zero respectively. We can
then apply a standard stochastic method, e.g., gPC Galerkin method or collocation
(i) (i) (i)
ej,N ⇡ w
method, to solve the problem and obtain w ej , for each j = 0, . . . , d .
Then, the approximate solution of (2.19) is
(i)
d
(i)
X (i) (i)
eN (x, Z (i) , B (i) ) =
w ej,N (x, Z (i) ).
bj w (2.28)
j=0
We remark that the linear dependence of the boundary parameters B (i) is exact, due
to the linearity of the governing equation. On the other hand, the random parameters
27
Z (i) are from the input a(x, !), which one should have sufficient information to be
able to sample directly. Consequently, obtaining the solution (2.28) does not require
the explicit encapsulation step described in the previous section and the numerical
error from (2.24) will not contain the second term (i.e., = 0). Hereafter, we will
continue to use the notations Z (i) and B (i) or their wraped version Y (i) , instead of
evoking the encapsulation variable X (i) .
Note that, we have utilized the linearity of an original global PDE to simplify the
formulation of local problem in this section. But we will continue our discussion for
general PDEs, not restricted in the linear family. We will continue to discuss the
general procedure of obtaining global solution by coupling local solutions, and it will
work for a general purpose, and is also a nice guideline for PDEs in linear family.
2.2.3 Global Solution via Sampling
To recover the global numerical solution for a given random vector Z,

(i)
K X d
X (i) (i)
w̃N = bj w̃N,j (x, Z (i) )ID(i) , (2.29)
i=1 j=0
we need to determine two sets of local parameters Z (i) , B (i) by the coupling the subdo-
main problems. Here we present a sampling method to determine these parameters.
This involves two levels of coupling: (1) correct probabilistic structure of the solu-
tion is enforced through direct sampling of the local random variables Z (i) from a
realization of the global random input a(x, Z). (2) correct physical constraints of the
solution at the interface is enforced via the proper coupling conditions (2.9). We shall
discuss the two steps in detail as follows.
Let M 1 be the number of input samples we are able to generate. We use
subscript k to denote the samples and for each k = 1, . . . , M we seek,
eN (x))k ⇡ (u(x))k ,
(w (2.30)
eN (x))k and (u(x))k are the kth sample of the numerical solution (2.29) and
where (w
of the exact solution (2.1), respectively.
28
Sampling the Random Inputs
The first step is to sample the random input a(x, !) to the original problem (2.1).
This is a straightforward procedure because it is assumed that one should always
be able to sample the random inputs. Let (a(x))k , k = 1, . . . , M , M 1, be these
samples, and
(i)
(a(x))k = (a(x))k ID(i) (x), i = 1, . . . , K, (2.31)
be their restrictions in each subdomains. Then, for each sample and in each subdo-
main D(i) , we apply (2.16) to obtain the samples of the random variables in the local
KL expansion (2.14), i.e.,
⇣ ⌘ Z ⇣ ⌘
(i) 1 (i) (i)
Zj = q (a(x))k µ(i)
a (x) j (x)dx, j = 1, . . . , d(i) . (2.32)
k (i) D (i)
j
Upon doing so, we obtain the deterministic sample values for the random vector
(i) (i)
(Z (i) )k = ((Z1 )k , . . . , (Zd(i) )k ), k = 1, . . . , M , in each subdomain D(i) . Note that is a
straightforward deterministic problem. It is essentially a problem of approximating a
given deterministic function (a(x))k locally in D(i) via a set of deterministic orthog-
(i)
onal basis { j (x)}. (The eigenfunctions of the KL expansion are orthogonal in the
physical space.) Any suitable approximation methods can be readily used and the
continuity of (a(x))k at the interfaces (if present) can be built in as a constraint. In
our examples we used the constrained least squares method [53].
Interface Problem
After determining the random parameters Z (i) for each solution sample, the only
(i) (i)
undetermined parameters in (2.29) are the boundary parameters B (i) = (b1 , . . . , b (i) ).
d
They can be determined by enforcing the proper boundary conditions and the cou-
pling conditions at the subdomain interfaces, as in (2.9). That is, for each sample
k = 1, . . . , M , and i = 1, . . . , K, we enforce the following conditions,
8
< C (ij) (x, (w (i)
eN )k , (w
(j) (i) (j)
eN )k ; (a)k , (a)k ) = 0, on @D(i) \ @D(j) , j 6= i,
(2.33)
: B(x, (w (i) (i)
eN )k ; (a)k ) = 0, on @D(i) \ @D.
29
Note that this is a system of deterministic algebraic equations with unknown param-
eters (B (i) )k . It is our assumption that these conditions induce a well defined system
(i)
so that (B (i) )k can be solved. This in turn determines the sample realizations (w
eN )k
completely. And we can construct the sample realizations of the global solution now.
K
X (i)
eN (x))k =
(w eN (x))k ID(i) (x),
(w k = 1, . . . , M. (2.34)
i=1
We emphasize that the assumption that the coupling conditions induce a set of
well defined system of algebraic equations for the boundary parameters is not strong.
In fact, this is precisely what is required in the traditional deterministic domain
decomposition methods. We shall illustrate this point in the Chapter of Validation.
30
31
3. ERROR ANALYSIS
A complete error analysis for the methodology is not possible without specifying the
governing equation. Since the purpose of this chapter is to provide a guideline for con-
ducting error analysis, we will look at all possible error issues in the methodology for
a large collection of PDEs, including the linear family. We also include a full Chapter
of further validation to introduce the similar underlying theorem for our methodology
compared to the domain decomposition method for deterministic problems, which in
return also provide a variety of error analysis tools and results. To begin with, we
examine all possible error contributions in our numerical procedure.
3.1 Error Contributions
Since the local gPC method produces solutions in term of sample realizations in
the form of (2.34), it is natural to adopt a discrete norm over the solution samples.
Again, let M 1 be the number of samples, for a collection of function samples
(f (x)) = ((f (x))1 , . . . , (f (x))M ) we define
M
! p1
X
k(f (x))kX,p = k(f (x))k kpX , p 1, (3.1)
k=1
and
k(f (x))kX,1 = max (k(f (x))k kX ) , (3.2)
1kM
where k · kX denotes a proper norm over the physical space D. Using this norm, we
now consider, for a fixed set of M samples,
k(u(x)) eN (x))kX,p ,
(w (3.3)
where (u(x)) are the sample solutions of the original problem (2.1), or, in its equivalent
eN (x)) are the sample solutions (2.34) obtained by the local
local form, (2.9), and (w
32
gPC method. To decompose the error contributions, we define the following auxiliary
local problem, for each subdomain i = 1, . . . , K,
8
>
> L(x, u e(i) ; e
a(i) (x, Z (i) )) = f (x), in D(i) ,
>
<
C (ij) (x, u
e(i) , u
e(j) ; e
a) = 0, on @D(i) \ @D(j) , j 6= i, (3.4)
>
>
>
: B(x, u e(i) ; e
a) = 0, on @D(i) \ @D,
a(i) (x, Z) is the local KL expansion (2.14) of the input a in each subdomain.
where e
Note that this problem is the same as the original problem (2.9), except the input a
is parameterized by the KL expansion locally.
To estimate the error (3.3), it suffices to consider the errors from each sample
e(i) (x, (Z (i) )k ) to denote the sample
separately. We also use the notation such as u
u(i) )k obtained via the sample of (Z (i) )k . A straightforward use of the triangular
(e
inequality results in the following.
K
X
k(u(x))k eN (x))k kX 
(w (u(i) (x))k e(i) )N (x))k
(w X
i=1
XK
(i)
 (u(i) (x))k e(i) (x, (Zk )
u
X
i=1
(3.5)
(i) (i) (i) (i) (i)
e (x, (Z )k )
+ u e (x, (Z )k , (B )k )
w X
(i)
e(i) (x, (Z (i) )k , (B (i) )k )
+ w eN (x, (Z (i) )k , (B (i) )k )
w
X
= (✏KL )k + (✏C )k + (✏N,h )k ,
where the definitions of (✏KL )k , (✏C )k and (✏N )N,h are obvious via the line above these
notations. The error contributions thus become clear:
• (✏KL )k : This is the error caused by the di↵erence between the exact solution of
(2.9) and auxiliary local problem (3.4). This is caused by the local parameter-
ization of random input a(i) (x, !) by the KL expansion (2.14), as well as the
numerical approximation error in determining the sample values for (Z (i) )k via
(2.32). We remark that the latter error is usually very small, and this error is
dominated by finite-term truncation in the local KL expansion.
33
• (✏C )k : This error is caused by the di↵erence between the auxiliary local problem
(3.4) and the subdomain problem (2.19), with its contribution from determin-
ing the boundary parameter samples (B (i) )k via the interface problem (2.33).
We remark that the numerical error in solving the system of equations (e.g.
Newton’s method, fast gradient descent method, etc.) in (2.33) is usually very
small and can be neglected.
• (✏N,h )k : The standard error for solving the local problem (2.19), which is equiv-
alent to (2.25) and (2.26) for linear problems, in each subdomain. This error
consists of the approximation error in both the random space and the physical
space. For random space, one can employ any standard stochastic method, such
as the N th-order gPC method used in the Chapter of numerical examples; and
for physical space, any standard discretization such as finite elements or finite
di↵erence with the discretization parameter h can be used.
The above argument provides only a guideline of the error contributions. A de-
tailed error analysis shall be conducted for a given governing problem, which will
determine the proper norm k · kX to be used in the physical space. (Such kind of
detailed analysis will be discussed in the section of future work.) It is clear from the
discussion that the predominant error contributions stem from the local parameteri-
zation error (✏KL )k , primarily due to the truncation of the local KL expansion, and
the finite-order gPC approximation error (✏N,h )k , as long as the discretization error
in the physical space is sufficiently small.
3.2 Computational Complexity
To solve the original problem (2.1), the standard approach is to solve the param-
eterized problem (2.7), in the d-dimensional random space and the global domain D.
When the random input a(x, !) has short correlation length, e.g. a relatively rough
path in visualization, the random dimension can be very high, d 1 and make the
problem prohibitively expensive to solve.
34
The local gPC method presented here seeks to solve (2.1) in a collection of non-
overlapping subdomains {D(i) }K
i=1 . In each subdomain, the subdomain problem (2.12)
is defined via an artificial boundary condition. The random input a(x, !) is param-
eterized locally in by d(i) -dimensional random parameters. The artificial boundary
condition is parameterized by the standard basis functions in physical domain, which
parameters. This makes the subdomain problem reside in de(i) = d(i) +d
(i) (i)
results in d
dimensional parameter space.
For linear governing equations, the subdomain problem can be readily solved
(i)
(d + 1) times in the d(i) -dimensional random space, as in (2.25) and (2.26). Since
d(i) is determined by the local parameterization of the random input a(x, !), it can
be significantly smaller than d, as demonstrated in Figure 2.1 and Figure 2.2. Since
d(i) ⌧ d, the local gPC induces significantly less simulation burden, even though the
(i)
subdomain problems need to be solved (d +1) times. Also, because the local random
dimension d(i) is much lower, typically of O(1), one can solve the local problem using
higher order methods to achieve high accuracy.
An added cost in the local gPC method, which is not explicitly present in the
traditional global gPC methods, is incurred when the samples of the correct global
solutions are constructed. This involves (i) using the samples of the input a to
determine the parameters Z (i) in each subdomains; and (ii) for each such sample
solving a system of equations from the coupling conditions to determine the boundary
parameters B (i) . The simulation cost of the first step is negligible. The second
step requires one to solve a system of (linear) equations and does not require any
(stochastic) PDE solution.
3.3 Choice of Subdomain and Spatial Discretization.
The local gPC method represents a rather general approach and is not tied up
to a certain spatial discretization. One may choose any feasible spatial discretization
schemes for the governing equation (2.1), e.g., FEM, finite di↵erence/volume, etc.
35
The determination of the subdomains is solely based on the desired relative cor-
relation length of a. In practice, one should choose the subdomains with sufficiently
small size so that the relative correlation length of a is reasonably large. This ensures
the fast decay of KL eigenvalues (2.14) in each subdomain and the low dimension-
ality of the subdomain problem (2.19). It is also convenient to let the interfaces
between the subdomains to align with the physical meshes. By doing so, the spatial
basis functions can be directly used to approximate the artificial boundary conditions
(2.18).
Even though smaller subdomains are preferred to reduce the dimensionality of
the local gPC problem, we caution that the size of the subdomains can not be ex-
ceedingly small. Smaller subdomains results in a larger number of subdomains, and
consequently, a larger system of equations to solve for the interface problem (2.33).
Therefore, in practice, the choice of the size of the subdomains should be a balanced
decision.
36
37
4. FURTHER VALIDATION
4.1 Application to Stochastic Elliptic Equation
In this section we use stochastic elliptic equation to illustrate the details of the
local gPC method. We consider
8
< r · (a(x, !)ru(x, !)) = f (x), x 2 D,
(4.1)
: u = g(x) x 2 @D.
Without loss of generality, we assume the right-hand side and the boundary conditions
are deterministic. The only random input is via the di↵usivity a(x, !). Our focus
is on the case when a has short correlation length, since it requires large number of
random parameters to parametrize the di↵usivity a(x, !), hence much more attention
must be paid to the computational cost.
4.1.1 Subdomain Problems and Interface Conditions
Let D(i) , i = 1, . . . , K, be a set of non-overlapping subdomains, then the problem

(4.1) is equivalent to the following problem.
8
>
> r · a(x, !)ru(i) (x, !) = f (i) (x), in D(i) ,
>
>
<
u(i) = u(j) , n̂ · aru(i) = n̂ · aru(j) , on @D(i) \ @D(j) , (4.2)
>
>
>
>
: u(i) = g(x), on @D,
where n̂ is the unit normal vector at the interfaces. The coupling conditions for the
elliptic problem are defined by enforcing the continuity in both the solution and the
flux. That is, along the interfaces @D(i) \ @D(j) , we have
u(i) = u(j) , n̂ · ru(i) = n̂ · ru(j) , (4.3)

38
Note that these are the widely used coupling conditions for elliptic equations in do-
main decomposition methods to ensure well posedness of the problem (see [54, 55]).
(4.3) shows the pointwise continuity of the solution itself and the flux term. It is also
valid to apply a slightly weaker condition on the flux, which we will discuss and make
a comparison in the following sections of Schur complement system.
4.1.2 Parameterized Subdomain Problems
a(x, Z (i) ) be the local KL expansion for the input. Let {hj (x)} be spatial
Let e
(i)
basis functions. Then, in each subdomain i = 1, . . . , K, and for each j = 1, . . . , d ,
8 ⇣ ⌘
>
< r· e (i)
a(x, Z )rw
(i)
ej ) = 0, x 2 D(i) ,
(4.4)
>
:w (i)
ej = hj (x), x 2 @D,
and 8 ⇣ ⌘
>
< r· e (i)
a(x, Z )rw
(i)
e0 ) = f (x), x 2 D(i) ,
(4.5)
>
:w (i)
e0 = 0, x 2 @D.
These are standard stochastic elliptic problems in the subdomain D(i) with deter-
ministic Dirichlet boundary conditions.
(i) (i)
eN,j be the corresponding gPC solution for w
Let w ej , for j = 0, . . . , d (i) . Then,
we have
(i)
d
(i)
X (i) (i)
eN (x, Z (i) , B (i) ) =
w ej,N (x, Z (i) ),
bj w (4.6)
j=0
(i) (i) (i)

where b0 = 1 and B (i) = (b1 , . . . , b (i) ) the boundary parameters.
d
4.1.3 Recovery of Global Solutions
The procedure for determining the parameters Z (i) and B (i) is the same as de-
scribed in Section 2.2.3.
39
4.2 Connection with the Schur Complement
In this section, we shall first review the basics of the Schur complement in the
traditional finite element based domain decomposition setting [48, 56], and then we
shall show the connection between the local PCE approach and the Schur complement
at the coupling stage for the linear problem.
4.2.1 The Classical Steklov-Poincare
Without loss of generality, for a given Sample Z, we shall consider the following
stochastic elliptic problem with a random input:
8
< r · (a(x, Z)ru(x, Z)) = f (x), in D,
(4.7)
: u = 0, on @D.
where D is partitioned into two non-overlapping subdomain D(i) :
D̄ = D(1) [ D(2) , D(1) \ D(2) = ;, = @D(1) \ @D(2) . (4.8)
Consider the corresponding Dirichlet problems:

8
>
> r · a(x, Z)ru(i) (x, Z) = f (x), in D(i) ,
>
<
u(i) = 0, on @D [ @D(i) , (4.9)
>
>
>
: u(i) = , on , i = 1, 2.
where denotes the unknown value of u on . Then we can state that,
(i)
u(i) (x, Z) = u0 (x, Z) + u(i)
⇤ (x, Z), (4.10)
(i) (i)
where u⇤ (x, Z) and u⇤ (x, Z) are the solutions of the following two Dirichlet prob-
lems: 8 ⇣ ⌘
>
>
(i)
r · a(x, Z)ru0 (x, Z) = f (x), in D(i) ,
>
<
(i)
u0 (x, Z) = 0, on @D [ @D(i) , (4.11)
>
>
>
: u(i) (x, Z) = 0,
0 on .
40
and 8 ⇣ ⌘
>
>
(i)
r · a(x, Z)ru⇤ (x, Z) = 0, in D(i) ,
>
<
(i)
u⇤ (x, Z) = 0, on @D [ @D(i) , (4.12)
>
>
>
: u(i) (x, Z) = ,
⇤ on .
For each i = 1, 2, we denote
(i)
Gi f := u0 (x, Z), Hi := u(i)
⇤ (x, Z). (4.13)
By enforcing flux continuity at the interface weakly:

Z Z
@ (1) @
a(x, Z) u (x, Z)vdx = a(x, Z) u(2) (x, Z)vdx, v 2 ⇤, (4.14)
@n @n
where
⇤ := {⌘ 2 H 1/2 ( )|⌘ = v| for a suitable v 2 H0 (D)}. (4.15)
then satisfies
Z
@ (1) @ (1)
a(x, Z)( u0 (x, Z) + u (x, Z))vdx
@n @n ⇤
Z
@ (2) @ (2)
= a(x, Z)( u0 (x, Z) + u (x, Z))vdx,
@n @n ⇤
(4.16)
After rearrangement, we get

Z Z
@ (1) @ (2) @ (2) @ (1)
a(x, Z)( u⇤ (x, Z) )u⇤ (x, Z) = a(x, Z)( u0 (x, Z) u (x, Z))vdx,
@n @n @n @n 0
(4.17)
this is so called the weak form of the Steklov-Poincare interface equation:
Z Z
S vdx = vdx, (4.18)
where
X2 X2
@ (i) @
S = a(x, Z) (i)
u⇤ (x, Z) = a(x, Z) Hi ,
i=1
@n i=1
@n(i)
2 2
(4.19)
X @ (i) X @
= a(x, Z) u (x, Z) = a(x, Z) Gi f.
i=1
@n(i) 0 i=1
@n(i)
41
4.2.2 Steklov-Poincare in Local PCE
The local PCE starts with the parameterized subdomain problems:

8
>
> r · ã(i) (x, Z)rw̃(i) (x, Z) = f (x), in D(i) ,
>
<
w̃(i) (x, Z) = 0, on @D [ @D(i) , (4.20)
>
>
>
: w̃(i) (x, Z) = ˜(i) , on ,
where ˜(i) is parameterized as follows:

(i)
d
X
˜(i) = (i)
bj hj (x). (4.21)
i=1
Then the local solution in each subdomain can be represented as follows:
(i)
w̃(i) (x, Z) = w̃0 + w̃⇤(i) , (4.22)
where
(i)
d
X (i)
w̃⇤(i) = bj w̃j (x, Z), (4.23)
i=1
(i)
and wj (x, Z) are the solutions of the following Dirichlet problems:
• for j = 0,
8 ⇣ ⌘
< (i)
r · ã(i) (x, Z)rw̃0 (x, Z) = f (x), in D(i) ,
(4.24)
: w̃(i) (x, Z) = 0, on @D(i) .
0
(i)
• for j = 1, . . . , d ,
8 ⇣ ⌘
< r · ã(i) (x, Z)rw̃(i) (x, Z) = 0, in D(i) ,
j
(4.25)
: w̃(i) (x, Z) = h (x), on @D(i) .
j j
For each i = 1, 2, we denote
(i) (i)
G̃i f := w̃0 (x, Z), H̃i hj (x) := w̃j (x, Z). (4.26)
Then it is obvious that

n
X
bj H̃i hj (x) = H̃i ˜ := w̃⇤(i) .
(i)
(4.27)
j=1
42
By enforcing nodal and flux continuity at the interface weakly:
˜(1) (x, Z) = ˜(2) (x, Z) = ˜(x, Z),

Z Z (4.28)
@ (1) @
ã (x, Z) w̃ (x, Z)vdx = ã(2) (x, Z) w̃(2) (x, Z)vdx,
(1)
@n @n
the satisfies
Z
@ (1) @
ã(1) (x, Z)( w̃0 (x, Z)+ w̃⇤(1) (x, Z))vdx
@n @n
Z
@ (2) @ (2)
= ã(2) (x, Z)( w̃0 (x, Z) + w̃ (x, Z))vdx,
@n @n ⇤
(4.29)
After rearrangement,
Z
@ @
(ã(1) (x, Z) w̃⇤(1) (x, Z) ã(2) (x, Z) w̃⇤(2) (x, Z))vdx
@n @n
Z (4.30)
@ (2) @ (1)
= (ã(2) (x, Z) w̃0 (x, Z) ã(1) (x, Z) w̃0 (x, Z))vdx.
@n @n
We then get the weak form of the approximated Steklov-Poincare interface equation:
Z Z
˜
S̃ vdx = ˜vdx, (4.31)
where
2
X X 2
@ @
S̃ ˜ = ã (x, Z) (i) w̃⇤(i) (x, Z) =
(i)
ã(i) (x, Z) (i) H̃i ˜,
i=1
@n i=1
@n
2 2
(4.32)
X @ (i)
X @
˜= ã(i) (x, Z) (i) w̃0 (x, Z) = ã(i) (x, Z) (i) G̃i f.
i=1
@n i=1
@n
Compared with (4.18), the di↵erence of both sides of the Steklov-Poincare interface
equation can be clearly seen as follows:
S S̃ ˜ = (S S̃) + S̃( ˜)
2
X X 2
⇥ @ @ ⇤ @
= a(x, Z) Hi ã(i) (x, Z) H̃ i
˜ + ã(i) (x, Z) (i) H̃i ( ˜),
i=1
@n(i) @n (i)
i=1
@n
2
X ⇥ @ @ ⇤
˜= a(x, Z) Gi ã(i) (x, Z) G̃ i f.
i=1
@n(i) @n(i)
(4.33)
43
4.2.3 The Classical Schur Complement
Without loss of generality, we shall consider the following stochastic elliptic prob-
lem with a random input, parameterized via a global KL expansion:
8
< r · (ã(x, Z)ru(x, Z)) = f (x), in D,
(4.34)
: u = 0, on @D.
where D is partitioned into two non-overlapping subdomain D(i) :
D̄ = D(1) [ D(2) , D(1) \ D(2) = ;, = @D(1) \ @D(2) . (4.35)
The corresponding variational problem reads: find u 2 H01 such that

Z Z
ã(x, Z)ru · rvdx = f vdx, v 2 H01 . (4.36)
D D
Let K be the finite element mesh of D and Vh is the finite element space defined on K.
For a given sample Z, the classical finite element approximation seeks uh 2 Vh ⇢ H01
such that Z Z
ã(x, Z)ruh · rvh dx = f vh dx, vh 2 V h , (4.37)
D D
which gives rise to the following linear system:
Au = F, (4.38)
where 2 3 2 3 2 3
(1) (1) (1) (1)
AII 0 AI uI FI
6 7 6 7 6 7
6 (2) 7 6 7 6 7
A = 6 0 A(2)
II AI 7 , u = 6u(2) 7, F = 6FI(2) 7 . (4.39)
4 5 4 I 5 4 5
(1) (2)
A I A I A u F
The unknown coefficients vector u can be split into two parts: the contribution from
(i)
interior nodes of the subdomains uI and the contribution from the interface nodes
(i) (i)
u . AII represents the interaction between the interior nodes. AI represents the
interaction between the interior nodes and interface nodes in i-th subdomain. A
represents the interaction between the interface nodes.
44
By performing block Gauss elimination of A, we get

2 3 2 3
(1) (1) (1)
A 0 AI F
6 II 7 6 I 7
6 7 6 (2) 7
6 0 A(2) II
(2)
AI 7 u = 6FI 7 . (4.40)
4 5 4 5
0 0 S g
where S is the so-called Schur complement matrix,
(1) (1) 1 (1) (2) (2) 1 (2)

S = A A I AII AI A I AII AI , (4.41)
(1) (1) 1 (1) (2) (2) 1 (2)
g = F A I AII FI A I AII FI , (4.42)
where
2 3 2 3
(i) (i) (i)
F A AI
F (i) = 4 I 5 , A(i) = 4 II 5 , (4.43)
(i) (i) (i)
F A I A
are the right hand sides and local sti↵ness matrices for the elliptic problems with a
Dirichlet boundary condition on @D \ and a Neumann boundary condition on ,
we then have
(1) (2) (1) (2)
A =A +A , F =F +F . (4.44)
With above notations, we find the Schur complement system for u as follows:
Su = g . (4.45)
and the inner unknowns can be recovered by
(i) (i) 1 (i) (i)

uI = AII (FI AI u ) (4.46)
following the matrix equation (4.40)
4.2.4 The Local PCE Approach - Local Problem
We discovered a connection between Schur complement and our local polynomial

chaos expansion method.
45
The local PCE approach starts with subdomain problems with Dirichelet condition
on the interface:
8
< r · ã(i) (x, Z (i) )rw̃(i) (x, Z (i) ) = f (i) , in D(i) , i = 1, 2,
(4.47)
: w̃(i) = ˜(i) , on ,
where ˜(i) is treated as an auxiliary variable. Similar with Section 4.2.3, for the same
(i)
global finite element mesh K, a finite element approximation seeks w̃h 2 Vh (D(i) )
such that
Z Z
(i) (i) (i)
ã (x, Z )rw̃h · rvh dx = f vh dx, vh 2 Vh0 (D(i) ), (4.48)
D (i) D (i)
(i)
with the boundary condition w̃h| = B (i) , where Vh0 (D(i) ) := {vh 2 Vh (D(i) ) : vh| =
0}. This leads to the following local linear system:
2 32 3 2 3
(i) (i) (i) (i)
Ã ÃI w̃ F
4 II 54 I 5 = 4 I 5, i = 1, 2, (4.49)
0 I w̃ B (i)
where I is an identity matrix. It is easy to see that the interior components can be
found by
(i) (i) 1 (i) (i)
w̃I = ÃII (FI ÃI B (i) ). (4.50)
(i)
It can be observed that the interior unknowns w̃I can be represented in terms of
B (i) at the interface. Recall that given the linearity of the elliptic problem with
(i)
parameterized Dirichlet boundary condition, we only need to solve (d + 1) problems
((2.25) and (2.26)) in d-dimensional spaces for local random variable Z (i) for each
subdomain, i.e., in each subdomain D(i) , we solve the following linear systems,
(1) the homogeneous system with nonzero Dirichlet boundary condition,

2 32 3 2 3
(i) (i) (i)
Ã ÃI w̃ 0
4 II 5 4 I,m 5 = 4 5 , (i)
m = 1, 2, . . . , d , (4.51)
(i)
0 I w̃ ,m em
(i)
where d = number of degrees of freedom in local boundary , and em is the
m-th column vector of identity matrix Id(i) ⇥d(i) .
46
(2) the nonhomogeneous system with zero Dirichlet boundary condition,

2 32 3 2 3
(i) (i) (i) (i)
Ã ÃI w̃ F
4 II 5 4 I,0 5 = 4 I 5 . (4.52)
(i)
0 I w̃ ,0 0
By (4.51) and (4.52), we get
(i) (i) (i) (i)

ÃII w̃I,m + ÃI em = 0, m = 1, 2, . . . , d , (4.53)
(i) (i) (i)
ÃII w̃I,0 = FI , (4.54)
hence,
(i) (i) 1 (i) (i)

w̃I,m = ÃII ÃI em , m = 1, 2, . . . , d , (4.55)
(i) (i) 1 (i)
w̃I,0 = ÃII FI . (4.56)
(i)
We store these local solutions w̃I,m and pass them into the assembly of the inter-
(i)
face linear system. Assemble all w̃I,m together with em as follows. We denote the
prolongation (linear) operator E (i) ,
2 3
(i) (i) (i)
w̃ w̃I,2 , . . . , w̃ (i)
6 I,1 I,d 7
E (i) = 4 5, (4.57)
e1 e2 , . . . , ed(i)
(i)
We denote the upper portion of E (i) as EI . By the derivation in (4.57), we get,

(i) (i) (i) (i) (i) 1 (i)
EI = w̃I,1 w̃I,2 , . . . , w̃I,d(i) = ÃII ÃI , (4.58)
And the lower portion of E (i) is simply an identity matrix I. Therefore, we re-write
the linear operator E (i) as,
2 1
3
(i) (i)
ÃII ÃI
E (i) = 4 5 , (4.59)
I
(i)
We also denote the following vector as e0 for the nonhomogeneous solution,
2 3 2 3
(i) (i) 1 (i)
(i) w̃ I,0 5 Ã II F I 5
e0 = 4 =4 , (4.60)
0 0
47
(i)
Operator E (i) and vector e0 provide the map from the local boundary degrees of
freedom to the whole subdomain’s degrees of freedom. Recall the representation of
local solution w̃(i) (x, B (i) ) (2.27) of the subdomain problem, we then have
2 3
(i)
w̃I
w̃(i) = 4 5 = E (i) B (i) + e(i)
0 . (4.61)
(i)
w̃
This map helps to construct a full local FE solution w̃(i) from the unknown local
boundary degrees of freedom B (i) . To recover B (i) , we need to couple the local
solutions at each subdomain together.
4.2.5 The Local PCE Approach - The Interface Problem
To couple the solutions at di↵erent subdomains, we enforce C 0 continuity strongly

and enforce the local flux continuity weakly at the interface by seeking w̃h =
P2 (i)
i=1 w̃h ID (i) 2 Vh such that
(1) (2)
w̃h = w̃h , on
Z (1) Z (2) (4.62)
(1) (1) @ w̃h (2) (2) @ w̃h
ã (x, Z ) vh ds = ã (x, Z ) vh ds, vh 2 Th ,
@n1 @n2
where Th is the space spanned by all nodal bases on , i.e., Th := Vh ( ) and n1 = n2 .

By the Green’s first identity,
Z (i) Z
(i) @ w̃ (i)
⇥ ⇤
ã (x, Z ) h vh ds = r · ã(i) (x, Z (i) )rw̃(i) (x, Z (i) ) vh dx
@ni (i)
ZD h i
(i)
+ ã(i) (x, Z (i) )rw̃h · rvh dx (4.63)
(i)
ZD h i
(i) (i) (i)
= f vh + ã (x, Z )rw̃h · rvh dx.
D (i)
Substitute (4.63) into (4.62), the interface problem becomes that we seeks w̃h =
P2 (i)
i=1 w̃h ID (i) 2 Vh such that
2 Z
X 2 Z
X
(i) (i) (i)
ã (x, Z )rw̃h · rvh dx = f vh dx, vh 2 T h . (4.64)
i=1 D (i) i=1 D (i)
48
With this formulation, the local flux continuity is satisfied weakly and C 0 continuity
is also satisfied here and enforced through the interface assembly operator.
The corresponding algebraic formulation for the finite element approximation of
(4.64) becomes
2
X 2
X
(i) (i) (i) (i)
[Ã I Ã ]w̃ = F , (4.65)
i=1 i=1
which is 2 3
2 (i) 2
X (i) (i) w̃I X (i)
[Ã I Ã ] 4 5= F , (4.66)
i=1 w̃ i=1
since B (i) represents the actual nodal values of w̃(i) at the interface, B (1) = B (2) = B
(C 0 continuity enforcement) with a proper node ordering for the two subdomain
problem, we get
2
X 2
X
(i) (i) (i) (i) (i)
(Ã I w̃I + Ã B ) = F . (4.67)
i=1 i=1
By (4.58), (4.60) and (4.61),

2
X 2
X
(i) (i) (i) (i) (i)
Ã I (EI B (i) + w̃I,0 ) + Ã B (i)
= F . (4.68)
i=1 i=1
By rearrangement, we get
2
X 2
X
(i) (i) (i) (i) (i) (i)
(Ã + Ã I EI )B (i) = (F Ã I w̃I,0 ). (4.69)
i=1 i=1
To extend this method to many subdomains, we can follow the idea in [48] to define
a family of restriction operators R(i) , which maps the global interface unknowns B to
the local interface parameters B (i) , i.e.,
B (i) = R(i) B, (4.70)
then collect (4.69) for many domains and write it as follows:

K
X K
X
(i) T (i) (i) (i) (i) (i) (i)
(R ) (Ã + Ã I EI )R(i) B = (R(i) )T (F Ã I w̃I,0 ). (4.71)
i=1 i=1
With a proper node ordering (e.g., the vertex-edge-face-interior sequence as in [57]),

assembly of the global interface system for multiple domains can be efficiently done.
49
It is almost clear that (4.71) shows a same formulation of our interface problem
compared to the Schur complement system for interface nodes u in (4.45). To verify
that, firstly, disregard the term (R(i) )T and R(i) on both sides (since they are just
locators to help ensure the correct place to keep a corresponding matrix for each
interface edges); secondly, perform a substitution given by (4.58) and (4.56), one get,
K
X K
X
(i) (i) (i) 1 (i) (i) (i) (i) 1 (i)
(Ã Ã I ÃII ÃI )B (i) = (F Ã I ÃII FI ). (4.72)
i=1 i=1
With the proper locator operator, one can conclude that this derivation is building
on the same numerical base as Schur complement system, which we denote as the
following concise form,
S̃B = g̃, (4.73)
In practice, we need to solve the encapsulation problem to build the gPC surrogate
(i) (i) (i) (i)
(w̃I,m )N to replace w̃I,m , m = 1, . . . , d and therefore (EI )N is the counterpart of
(i)
EI .
Then the interface problem is replaced by the approximated interface problem:
S̃N BN = g̃N , (4.74)
where
2
X ⇥ (i) (i) (i) ⇤
S̃N = Ã Ã I (EI )N , (4.75)
i=1
X2
⇥ (i) (i) (i) ⇤
g̃N = F Ã I (w̃I,0 )N . (4.76)
i=1
(i)
and the correpsonding interior unknowns (w̃I )N can be approximated by
(i) (i) 1 (i) (i)

(w̃I )N = ÃII (FI ÃI BN ). (4.77)
Note that we get back to the two subdomains illustration settings, since it is simple
and straightforward to show the idea with the consideration of simple notations.
Next, we shall examine the di↵erence between the Schur complement system (4.46)
and the approximated version (4.74) for each sample in the following steps:
50
(1) We first examine the the di↵erence between the Schur complement matrix and
the approximated one:
2
X (i) (i) (i) 1 (i)
S̃N = (A A I AII AI )
i=1
X2
⇥ (i) (i) (i) (i) 1 (i) (i) (i) 1 (i) ⇤
+ (Ã A ) (Ã I ÃII ÃI A I AII AI )
i=1 (4.78)
X2
(i) ⇥ (i) (i) ⇤
Ã I (EI )N EI
i=1
= S + S,
where
2
X 2
⇥ (i) (i) (i) (i) 1 (i) (i) (i) 1 (i) ⇤ X (i) ⇥ (i) (i) ⇤
S= (Ã A ) (Ã I ÃII ÃI A I AII AI ) Ã I (EI )N EI .
i=1 i=1
(4.79)
Observe that the first summation is the error due to local KL expansion and the
second summation is the error due to the surrogate by the sparse grid. We then
assume || S|| = ✏S = C1 (✏KL + ✏N,h ), where ✏KL and ✏N,h denote the error due
to the local KL expansion and the error due to the surrogate of the subdomain
problems respectively.
(2) We next examine the the di↵erence for the right-hand sides:
2
X (i) (i) 1 (i)
g̃N = (F (i) A I AII FI )
i=1
X2
(i) (i) 1 (i) (i) (i) 1 (i)
(Ã I ÃII FI A I AII FI )
i=1 (4.80)
X2
(i) ⇥ (i) (i) ⇤
Ã I (w̃I,0 )N wI,0
i=1
= g + g,
where
2
X 2
X
(i) (i) 1 (i) (i) (i) 1 (i) (i) ⇥ (i) (i) ⇤
g= (Ã I ÃII FI A I AII FI ) Ã I (w̃I,0 )N wI,0 . (4.81)
i=1 i=1
51
Similarly, we observe that the first summation is the error due to local KL
expansion and the second summation is the error due to the surrogate by the
sparse grid. We assume || g|| = ✏g = C2 (✏KL + ✏N,h ).
(3) Finally, we examine the di↵erence between BN and u through a appropriate

vector norm and consistent matrix norm, let BN = u + u and substitute
them into (4.74), we have
(S + S)(u + u ) = g + g. (4.82)
which leads to
u = (S + S) 1 ( g Su )
(4.83)
1 1 1
= (I + S S) S ( g Su ).
Assume we can limit the local KL expansion error and the surrogate error by
sparse grid under a certain level, i.e., ✏KL ⌧ 1 and ✏N,h ⌧ 1, then we can get
|| S||  ✏S ⌧ 1 and || g||  ✏g ⌧ 1. As a result, we have the following estimate
for the interface parameters(unknowns) u :
1
|| u || = ||(I + S S) 1 S 1
( g Su )||
||S 1 ||
 (|| S||||u || + || g||)
|1 ||S 1 |||| S|||
||S 1 ||||S|| || S|| || g||
 || S||
( + )||u ||
|1 ||S 1 ||||S|| | ||S||
||S||
||S||||u ||
(S) || S|| || g|| (4.84)
= ( + )||u ||
|1 (S) ||||S||
S||
| ||S|| ||S||||u ||
(S) || S|| || g||
 ( + )||u ||
|1 (S) ||||S||
S||
| ||S|| ||g||
(S) ✏S ✏g
 ✏S ( + )||u ||
|1 (S) ||S|| | ||S|| ||g||
52
where (S) is condition number of Schur complement matrix. And by (4.46)

and (4.77), we have following error estimate for the interior unknowns,
(i) (i) (i) 1 (i) (i) (i) 1 (i) (i)

||uI (w̃I )N || = ||AII (FI AI u ) ÃII (FI ÃI BN )||
(i) 1 (i) (i) (i) 1 (i) (i)
= ||AII (FI AI u ) ÃII (FI ÃI (u + u ))||
(i) 1 (i) 1 (i) (i) 1 (i) (i) 1 (i) (i) 1 (i)
= ||(AII ÃII )FI + (ÃII ÃI AII AI )u + ÃII ÃI u ||
(i) 1 (i) 1 (i) (i) 1 (i) (i) 1 (i)
 ||(AII ÃII )FI || + ||(ÃII ÃI AII AI )||||u ||
(i) 1 (i)
+ ||ÃII ÃI |||| u ||
(i)
 C3 ✏KL ||FI || + C4 ✏KL ||u || + C5 || u ||
(4.85)
This completes the exposition of the connection between the Schur complement
and the local PCE method. It is clear that the di↵erence between two approaches
are mainly due to local KL expansion and the polynomial chaos approximation of the
solutions of the subdomain problems. We have made a bound of such errors.
4.3 A Practical Algorithm
Based on the analysis above, we now present a practical algorithm of the local
PCE method for the linear problems involving six steps and we shall highlight efficient
implementation strategies for some important steps as follows:
(1) Compute the local KL expansion (2.14) on each subdomain by solving the local
eigenvalue problems (2.15) and the local projection (2.16).
(2) Solve the i-th subdomain problems (2.25) and (2.26) with local parameterized
random inputs and Dirichelet boundary conditions to get the local solution
(i) (i)
w̃N,j , i = 1, . . . , K, j = 0, . . . , d .
(i) (i)
(3) Store Ã I , Ã (essentially the whole row corresponding to the interface ).
(4) Form the interface problem matrix (Schur complement matrix).

53
(i)
(5) Solve the reduced system (4.74) to get the unknown coefficients BN .
(6) Recover the global solution via the local solutions:

(i)
K X d
X (i) (i)
w̃N (x, Z) = bj w̃N,j (x, Z (i) )ID(i) . (4.86)
i=1 j=0
1. The local projection (2.16) in step 1 can be rewritten as follows:

Z
(i) 1 (i)
Zj (!) = q (a(i) (x, !) µ(i)
a (x)) j (x)dx (4.87)
(i) D (i)
j
d(i) p Z
X k (i)
= q k (x) j (x)dx. (4.88)
(i) D (i)
k=1 j
Since in the finite element setting,

N (i)
X
k = ˆk,m h(i) (x), (4.89)
m
m=1
N (i)
X
(i)
= ˆ(i) h(i) (x), x 2 D(i) , (4.90)
j j,m m
m=1
(i)
where hm (x) is the finite element basis defined on the finite element mesh of i-
th subdomain D(i) . N (i) is the number of the corresponding degrees-of-freedom
on the finite element mesh. ˆk,m and ˆj,m are the eigenvector evaluated at the
(i)
(i)
mesh grid points. Define ˆ k = [ ˆk,1 . . . ˆk,N (i) ] and ˆ j = [ ˆj,1 . . . ˆj,N (i) ], (4.87)
(i) (i)
can be approximated as follows:

Xd(i) p d
X
(i)
(i)
Zj (!) = q k ˆ T M (i) ˆ (i) Zk =
(i)
Pjk Zk , (4.91)
k j
(i)
k=1 j k=1
where M (i) is the mass matrix computed on the finite element mesh of i-th sub-
domain D(i) . It can be seen that once we know the eigenvalues and eigenvectors
(i)
of global and local KL expansions, Pjk can be precomputed, then local random
variables Z (i) can be easily computed.
(i)
2. For step 2, in order to evaluate w̃N,j (x, z) efficiently, we shall build a surrogate
for each subdomain by sparse grid interpolation.
54
3. For step 3, it seems that we have to assemble Ã(i) for a given new Z. However,
since the local KL expansion is affine,
d(i)
(i)
X (i) (i)
(i)
Ã = Ã0 + Ãk Zk , (4.92)
k=1
(i)
where Ãk that can be precomputed, corresponds to the sti↵ness matrix due to
the terms in the expansion of local KL expansion in (2.14). Therefore, given a
new sample Z, we only need to evaluate (4.92) and don’t need to go through
the assembly step in the local finite element solver again.
(i) (i)
4. Since EI (4.57) can be evaluated efficiently by its gPC surrogate (EI )N with-
out evoking the local PDE solver and Ã(i) can be evaluated online efficiently by
(4.92), step 4 can be done efficiently by the following form:
K
X K
X
(i) T (i) (i) (i) (i) (i) (i)
(R ) (Ã I + Ã (EI )N )R(i) B = (R(i) )T (F Ã I (w̃I,0 )N ). (4.93)
i=1 i=1
55
5. NUMERICAL EXAMPLES
In this section, we present numerical results to illustrate the e↵ectiveness of the

local gPC method. In the following exampless, we compare three di↵erent numerical
solutions. This is a typical way to separate the error contributions clearly and is
the similar approach discussed in 3.1. Here is a brief explanation of each numerical
solution:
• Local gPC solution.
This refers to the solution using the scheme what we discussed in the Section 2,
which involves employing domain decomposition with local KL expansion ap-
proximation for the global input a(x, Z), building the local subdomain solutions
by the sparse grid surrogate, and enforcing interface conditions by solving the
coupled interface system.
• Auxiliary reference solutions.
Given each realization of the KL expansion approximation of the global input

a(x, Z) as the deterministic input, we shall apply the same domain decomposi-
tion to get the realization of the local KL expansion ã(x, Z (i) ) and then use it as
the input to compute FEM solution on the mesh with the same total resolution
as the local gPC solution.
• Reference FEM solutions.
We solve the equation with the realizations of original global random field input
a(x, Z) on a full FEM mesh with the same total resolution as the local gPC
solution and auxiliary solution.
56
To examine the accuracy, we shall compare the di↵erences of the above solutions
in terms of following norm:
||(f (x))||l2 ,1 = max ||(f (x))k ||l2 (5.1)

1kM
where we denote (f (x)) = (f (x)1 , . . . , f (x)M ) to be a collection of function samples

and (f (x))k is the kth sample of the function f (x). In the following section, we shall
use M = 100 samples to compute the errors.
5.1 1D Elliptic Problem with Moderately Short Correlation Length
Consider the stochastic elliptic problem (4.1) in a one-dimensional physical domain

D = [0, 1]. The random di↵usivity field a(x, !) is set to be a process with a mean
value of 0.1 and a Gaussian covariance function,
✓ ◆
(x y)2
C(x, y) = exp , x, y 2 [0, 1], (5.2)
`2
where ` is the correlation length and controls the variance. In the following we will
set ` = 1/12 and = 0.021. For this example we use quadratic finite-elements to
solve (4.1). We ensure that for any number K of the subdomains the total number of
elements on the global mesh (the union of all subspace meshes) is 400. For example, if
the global domain is decomposed into 10 subdomains, each subdomain will be solved
using 40 quadratic elements.
After decomposing the global domain into subdomains we construct local KLE
that approximate the global di↵usivity field on each subdomain. The local PCE
approach proposed in this paper leverages the fact that when the eigenvalues of the
local KLE decay rapidly, the stochastic dimension on a subdomain will be significantly
less than the global stochastic dimension. We have shown the result in 2.2.1, so we
skip the resulting plots in this chapter.
Given a KLE approximation on each subdomain the task of building a local poly-
nomial chaos expansion for the PDE on the global domain, requires building an
approximation of the PDE solution on each subdomain over the lower-dimensional
57
random variables of the subdomain. To compute the local gPC solution, we use
isotropic sparse grids [58, 59] to build a polynomial chaos expansion on each subdo-
main. Specifically, we use a sparse grid based upon the univariate Clenshaw-Curtis
quadrature rule and convert it to a Legendre PCE using a fast linear transformation
method developed in [60]. We emphasize again that in practice one may use any
convenient method to build the local gPC expansion in each subdomain.
Figure 5.1 plots the error in the local gPC solution against the number of sparse
grids subdomain solution samples at increasing gPC orders, using di↵erent dimensions
d of the local KL expansion. It is clear that the number of dimensions retained in
the local KL expansion significantly e↵ects the ability to generate accurate local gPC
solutions. With only one term retained (d = 1), the error induced by the local KL
expansion dominates and increasing the gPC order does not reduce the errors at all.
When more terms in the local KL expansion is used, i.e., d = 2, 3, 4, 5, we observe the
error convergence as higher order local gPC expansion is used and the errors saturate
the lower levels. The clearly demonstrate the error contribution from both the local
KL expansion (✏KL ) and local gPC expansion (✏N,h ), as discussed in (3.5).
The efficacy of using local PCE to solve stochastic linear PDEs is demonstrated
emphatically in Figure 5.2. To generate this plot we built local PCE on each sub-
domain with a local KLE that was truncated at a dimension d that retained all
eigenvalues of the local KLE above machine precision. As the number of subdomains
K increases, the required dimensionality d of the local PCE decreases drastically and
results in much smaller errors and faster error convergence rate. We recall that at
lower dimensions d, building the local gPC expansion becomes much more efficient.
We again remark that the local PCE method proposed here ensures that the PDE
on the global domain can be solved independently on each subdomain. Knowledge
of the solution on the other subdomains is only required when reconstructing the
solution on the global domain which is a post-processing step.
58
Figure 5.1. Errors in the local gPC solutions with respect to increasing
isotropic sparse grid levels, with di↵erent dimensions d of the local KL
expansion.
Figure 5.2. Errors in the local gPC solutions with respect to increasing
isotropic sparse grid level, with di↵erent number of subdomains K.
(The dimension d in the subdomains is determined by retaining all
eigenvalues of the local KL expansion for up to machine precision.)
59
5.2 2D Elliptic Problem with Moderate Correlation Length
We now present results for two-dimensional stochastic elliptic problem (4.1), with
the physical domain D = [ 1, 1]2 , with the right-hand-side of (4.1) set to f = 2 + xy,
and a Dirichlet boundary condition of 2 + x3 y. The random di↵usivity field a(x, !) is
set to be the same process discussed in the local KL expansion in Figure 2.1, which
has a mean value of one and a Gaussian covariance function,
✓ ◆
kx yk2
C(x, y) = exp , x, y 2 [ 1, 1]2 , (5.3)
`2
where ` is the correlation length. Here we choose a moderate correlation length,
` = 1, and for clarity, we plot the first ten eigenvalues of the local KL expansion in
Figure. 5.3.
2
10
1
10
16 × 16 subdomains
8 × 8 subdomains
0 4 × 4 subdomains
10
−1
10
−2
10
−3
10
−4
10
−5
10
−6
10
−7
10
−8
10
1 2 3 4 5 6 7 8 9 10
Figure 5.3. The first ten eigenvalues of the local Karhunen-Loève

expansion for covariance function C(x, y) = exp( (x y)2 /`2 ) in
[ 1, 1]2 with ` = 1.
To compute the gPC expansion,we employ the high level sparse grids stochastic
collocation and then approximate the gPC orthogonal expansion coefficients using
60
the sparse grids quadrature rule, see, for example, [10] for details. The reference
FEM solutions are computed over a 64 ⇥ 64 linear elements, which result in negligible
spatial discretization errors for this case. For subdomain decomposition, we utilize
three sets of subdomains: 4 ⇥ 4, 8 ⇥ 8, and 16 ⇥ 16. (The number of FEM elements
in each subdomain is adjusted in each case to keep the overall number of elements at
64 ⇥ 64.)
We first compute the errors in the local gPC solution against the auxiliary ref-
erence solutions. (Recall the local KL expansion errors are eliminated in this com-
parison.) In this case, we fix the local KL expansion at d(i) = 4 and vary the gPC
orders. The errors are shown in Figure 5.4, where we observe the fast and spectral
convergence with increasing order of gPC expansions.
−4
10
16 × 16 subdomains
8 × 8 subdomains
4 × 4 subdomains
−5
10
−6
10
−7
10
−8
10
−9
10
1 2 3 4
Figure 5.4. Errors, measured against the auxiliary reference solutions,

in the local gPC solutions with respect to increasing local gPC order.
The local KL expansion is fixed at d(i) = 4.
61
Next we fix the local gPC order at N = 4, which results in very small errors
of O(10 9 ), as shown in Figure 5.4. We then compute the local gPC solutions
against the reference FEM solutions. Since the errors from the local gPC expansions
are small, we expect to see the dominance of the errors induced by the local KL
expansions. This is clearly illustrated in Figure 5.5, which plots the errors in the
local gPC solution with respect to the local KL truncation from d(i) = 1 to d(i) = 6.
The errors are much bigger than those in Figure 5.4, confirming that in this case the
biggest error contribution stems from the truncation error of the local KL expansion.
We observe that the error decay pattern is very similar to the local KL eigenvalue
decay, suggesting that the dominant errors are from the local KL expansion.
−1
10
16 × 16 subdomains
8 × 8 subdomains
4 × 4 subdomains
−2
10
−3
10
−4
10
−5
10
1 2 3 4 5 6
Figure 5.5. Errors in the local 4th-order gPC solutions with respect
to increasing dimensionality of the local KL expansions, using 4 ⇥ 4,
8 ⇥ 8, and 16 ⇥ 16 subdomains. (` = 1)
62
5.3 2D Elliptic Problem with Short Correlation Length
We now solve the same two-dimensional stochastic elliptic problem as in the pre-
vious section but set the correlation length of the input a(x, !) to ` = 0.2. This repre-
sents a quite short correlation length and results in very slow decay of the global KL
eigenvalues. The random dimensionality of the global KL expansion is of d ⇠ O(100),
which is too high for most standard stochastic methods. On the other hand, the local
KL expansions exhibit much faster decay of the eigenvalues, as seen from Figure 2.1
and also from the zoomed view in Figure 5.6 for the first ten eigenvalues.
2
10
16 × 16 subdomains
1
8 × 8 subdomains
10
4 × 4 subdomains
0
10
−1
10
−2
10
−3
10
−4
10
1 2 3 4 5 6 7 8 9 10
Figure 5.6. The first ten eigenvalues of the local Karhunen-Loève

expansion for covariance function C(x, y) = exp( (x y)2 /`2 ) in
[ 1, 1]2 with ` = 0.2.
The errors of the local gPC solution, measured against the auxiliary FEM reference
solution, are shown in Figure 5.7. Since the errors introduced by the local KL
expansion are eliminated in this comparison, we observe fast and spectral convergence
of the errors with respect to the increase of the gPC expansion order. We then
compare the local gPC solution against the true reference solution by fixing the gPC
expansion order at N = 4. This results in negligible errors from the local gPC
63
expansions. The errors are plotted in Figure 5.8, with respect to the increasing
dimensionality of the local KL expansions. We again notice the errors decay as more
terms in the local KL expansions are retained. We also note that the errors are
noticeably much larger than those in Figure 5.7, confirming that the predominant
contribution in the overall errors is from the truncation of the local KL expansion.
−4
10
16 × 16 subdomains
8 × 8 subdomains
4 × 4 subdomains
−5
10
−6
10
−7
10
−8
10
−9
10
1 2 3 4
Figure 5.7. Errors, measured against the auxiliary reference solutions,

in the local gPC solutions with respect to increasing local gPC order.
Finally, we emphasize that the errors introduced by truncation of the local KL

expansions will typically dominate the errors induced by other sources. The stochas-
tic elliptic problem is known to be very smooth in random space. In fact, for the
elliptic problems consider in this section, the stochastic solution is analytic in the
random space ( [4]). It is well known that for such analytic functions, gPC type
methods will converge very fast. In addition, since the subdomain problems of the
local gPC method of dimension O(1), we are able to compute reasonably high order
gPC expansions. The fast convergence and low dimensionality means that we can
64
−1
10
16 × 16 subdomains
8 × 8 subdomains
4 × 4 subdomains
−2
10
−3
10
−4
10
1 2 3 4 5 6
Figure 5.8. Errors in the local 4th-order gPC solutions with respect
8 ⇥ 8 and 16 ⇥ 16 subdomains. (` = 0.2)
65
easily drive the gPC error below the error introduced by the truncation of the local
KL expansions. Consequently, the error arising from the local KL expansions provide
the leading contribution to the total error of the local gPC method.
Errors induced by the input parameterization, e.g., either the standard global
KL expansion or the local KL expansion, should be considered a modeling error, as
they are not directly related to the algorithm itself. In fact, the local gPC method
presented in this paper can be more accurate in this sense, as it allows one the capture
more percentage of the KL eigenvalues because of the much faster eigenvalue decay
in the subdomains.
5.4 2D Di↵usion Equation with a Random Input in Layers
Consider the following two-dimensional stochastic elliptic problem

8
< r · (a(x, !)ru(x, !)) = f (x), in D
(5.4)
: u = g(x), on @D,
with the physical domain D = [ 1, 1]2 , with the right-hand side f = 1, and zero
Dirichlet boundary condition. The random di↵usivity field a(x, !) has the covariance
function, ✓ ◆
kx yk2
C(x, y) = exp , x, y 2 [ 1, 1]2 , (5.5)
`2
where ` is the correlation length. Here we choose a short correlation length, ` = 0.2,
where the global KL expansion results in d = 200 random dimensions. We divide the
physical domain D = [ 1, 1]2 into four rectangular layers with distinct mean values,
8
>
> 200, D1 = [ 1, 1] ⇥ [1/2, 1],
>
>
>
>
>
< 40, D2 = [ 1, 1] ⇥ [0, 1/2],
µa = (5.6)
>
> 8, D = [ 1, 1] ⇥ [ 1/2, 0],
>
> 3
>
>
>
: 4, D4 = [ 1, 1] ⇥ [ 1, 1/2].
To compute the gPC surrogate, we employ the high level (with level 7) sparse grids
stochastic collocation and then approximate the gPC expansion coefficients using the
66
Figure 5.9. A realization of the input random field a(x, Z) with dis-
tinct means values in each layer indicated above and the corresponding
full finite element solution.
67
sparse grids quadrature rule (with level 7). The reference FEM solutions are computed
over a 64 ⇥ 64 linear elements, which result in negligible spatial discretization errors
for this case. For domain partitioning, we utilize three sets of subdomains: 4 ⇥ 4,
8 ⇥ 8, and 16 ⇥ 16 (the number of FEM elements in each subdomain is adjusted in
each case to keep the overall number of elements at 64 ⇥ 64).
Figure 5.9 shows one realization of the input random field a(x, Z) with distinct
means values in each layer indicated above. The corresponding full finite element
solution (reference solution) of the di↵usion problem in the domain D = [ 1, 1]2 is
shown in Figure 5.10.
Figure 5.10. The corresponding full finite element solution (reference

solution) of the realization of the input a(x, Z) with distinct means
values in each layer indicated above.
We first compute the errors in the local gPC solution against the auxiliary refer-
ence solutions (recall the local KL expansion errors are eliminated in this comparison).
In this case, we fix the local KL expansion at d(i) = 4 and vary the gPC orders. The
errors are shown in Figure 5.11, where we observe the fast and spectral convergence
with increasing order of gPC expansions.
68
In the figures, for example, 16 ⇥ 16 subdomains means we have evenly partitioned

16 ⇥ 16 subdomains in D = [ 1, 1]2 , which gives 4 ⇥ 16 subdomains in each layer
region, and 4 ⇥ 4 linear elements in each subdomain to make the total resolution as
64 ⇥ 64 linear elements.
−4
10
16 × 16 subdomains
8 × 8 subdomains
4 × 4 subdomains
−5
10
−6
10
−7
10
1 2 3 4
Figure 5.11. Errors, measured against the auxiliary reference solu-

tions, in the local gPC solutions with respect to increasing gPC order.
Next we fix the local gPC order at N = 4, which results in very small errors of
O(10 7 ), as shown in Figure 5.11. We then compute the local gPC solutions against
the reference FEM solutions. Since the errors from the local gPC expansions are small,
we expect to see the dominance of the errors induced by the local KL expansions.
This is clearly illustrated in Figure 5.12, which plots the errors in the local gPC
solution with respect to the local KL truncation from d = 1 to d = 6. The errors are
much bigger than those in Figure 5.11 confirming that in this case the biggest error
contribution stems from the truncation error of the local KL expansion.
69
−2
10
16 × 16 subdomains
8 × 8 subdomains
4 × 4 subdomains
−3
10
−4
10
−5
10
1 2 3 4 5 6
Figure 5.12. Errors in the local 4-th order gPC solutions with respect
8 ⇥ 8 and 16 ⇥ 16 subdomains. (` = 0.2)
70
5.5 2D Di↵usion Equation with a Random Input in Di↵erent Direction
We now consider the two-dimensional stochastic elliptic problem

8
< r · (a(x, !)ru(x, !)) = f (x), in D,
(5.7)
: u = g(x), on @D,
with the T-shaped physical domain D = Dh [ Dv where Dh = [ 3, 3] ⇥ [1, 3], Dv =
[ 1, 1] ⇥ [ 3, 1), with the right-hand-side f = 1, and zero Dirichlet boundary condi-
tion on @D. In Dh the random di↵usivity field a(x, !) has x-directional covariance
functions, ✓ ◆
(x1 x01 )2
C(x1 , x01 ) = exp , x1 , x01 2 [ 3, 3], (5.8)
`2
In Dv the random di↵usivity field a(x, !) has y-directional covariance functions,
✓ ◆
0 (x2 x02 )2
C(x2 , x2 ) = exp , x2 , x02 2 [ 3, 1], (5.9)
`2
where ` is the correlation length. Here we choose a regular correlation length, ` = 0.4,
where the global KL expansion results in d = 40 random dimensions. We also set
the average value of both random field as µa = 10 hereafter. Figure 5.14 shows
one realization of the input random field a(x, Z) with distinct directional covariance
functions in Dh , and Dv and the corresponding full finite element solution (reference
solution) of the di↵usion problem in the T-shaped domain D.
We consider the T-shaped region D as the union of five square regions and apply
the same discretization procedure we employed before to set up rectangular subdo-
mains in each square region. Figure 5.15 shows a rough look of global mesh and the
skeleton degree of freedoms at the interface when the number of subdomains in each
square region is set as 4 ⇥ 4 and the number of FEM elements in each domain is set
as 4 ⇥ 4. In fact, all the crossed points indicate the actual unknowns in the inter-
face problem, while the solid points are boundary nodes fixed by Dirichlet boundary
conditions.
We again employ the high level sparse grids stochastic collocation (with level 7)
and then approximate the gPC expansion coefficients using the sparse grids quadra-
ture rule (with level 7). The reference FEM solutions are computed over a 16 ⇥ 16 ⇥ 5
71
Figure 5.13. One realization of the input a with randomness in di↵erent directions

solution) of stochastic elliptic problem with the realization of the input
a with randomness in di↵erent directions .
72
2 Dh
1
x2
−1 Dv
−2
−3
−4
−4 −3 −2 −1 0 1 2 3 4
x1
Figure 5.15. Global mesh and the skeleton degree of freedoms as a

total resolution of 16 ⇥ 16 ⇥ 5.
73
linear elements (5 comes from the five square regions). This resolution matches the
total resolution shown in Figure 5.15.
Similar to the error analysis in the example in the Section.5.4, we again show two
major sources of errors in our algorithm. First, the errors in the local gPC solution
against the auxiliary reference solutions, where the local KL expansion errors are
eliminated. We fix the local KL expansion at d(i) = 4 and vary the gPC orders. The
errors are shown in Figure 5.16, where we observe the fast and spectral convergence
with increasing order of gPC expansions.
−6
10
−7
10
−8
10
−9
10
−10
10
−11
10
−12
10
1 2 3 4 5 6

tions, in the local gPC solutions using 4 ⇥ 4 ⇥ 5 subdomains with
respect to increasing gPC order. The local KL expansion is fixed at
d(i) = 4 (` = 0.4).
solution with respect to the local KL truncation from d = 1 to d = 7. The errors are
74
much bigger than those in Figure 5.16 confirming that in this case the biggest error
contribution stems from the truncation error of the local KL expansion.
−2
10
−3
10
−4
10
−5
10
−6
10
−7
10
1 2 3 4 5 6 7
Figure 5.17. Errors in the 2nd-order gPC solutions in with respect to

increasing dimensionality of the local KL expansions, using 4 ⇥ 4 ⇥ 5
subdomains (` = 0.4).
5.6 A 2D Multiphysics Example
To further demonstrate the applicability of the local PCE method, we now con-
sider a two-dimensional stochastic multiphysics problem, involving both stochastic
transport equation and stochastic elliptic equation,
8
>
> r · (a(x, !)ru(x, !)) = f (x), in Dv ,
>
>
>
>
>
> r · (a(x, !)ru(x, !)) + b · ru = f (x), in Dh ,
>
<
u = 0.03, on 1 , (5.10)
>
>
>
> @u = 0,
>
> on 2 ,
>
> @y
>
: u = 0, on other boundaries,
75
with the T-shaped physical domain D = Dh [ Dv where Dh = [0, 23 ] ⇥ [ 13 , 23 ], Dv =

[ 23 , 1] ⇥ [0, 1], with the right-hand-side f = 1. The random di↵usivity field a(x, !) has
the covariance function,
✓ ◆
2 kx yk2
C(x, y) = exp , x, y 2 [ 1, 1]2 , (5.11)
`2
where ` is the correlation length. Here we choose a regular correlation length, ` = 0.5,
where the global KL expansion results in d = 40 random dimensions. We also set
µa = 1, = 0.1 and the velocity vector field b = (1, 0) hereafter. Figure 5.19 shows
one realization of the input random field a(x, Z) and the corresponding full finite
element solution (reference solution) in the T-shaped domain D.
Figure 5.18. One realization of the input a with correlation length ` = 0.5.
We consider the T-shaped region D as the union of five subdomains (square re-
gions). Figure 5.20 shows the global mesh and the corresponding subdomains, where
we employ 64 ⇥ 64 triangular elements in each subdomain. The reference FEM solu-
tions are computed over a 64 ⇥ 64 ⇥ 5 linear elements (5 comes from the five square
regions), which match the total resolution shown in Figure 5.20.
Similar to the error analysis in the example in the Section.5.4, we again show two
major sources of errors in our algorithm. First, the errors in the local gPC solution
76

solution) of 2D multiphysics example
Γ2
D3
Dh
Γ1 D1 D2 D4 Dv
D5
Γ2
Figure 5.20. Global mesh and its corresponding subdomains as a total

resolution of 64 ⇥ 64 ⇥ 5.
77
(we approximate the gPC expansion coefficients using the sparse grids quadrature rule
with level 5) against the auxiliary reference solutions, where the local KL expansion
errors are eliminated. We fix the local KL expansion at d(i) = 4 and vary the gPC
orders. The errors are shown in Figure 5.21, where we observe the fast and spectral
convergence with increasing order of gPC expansions.
−4
10
−5
10
−6
10
−7
10
1 2 3 4

tions, in the local gPC solutions using 5 subdomains with respect to
increasing gPC order. The local KL expansion is fixed at d(i) = 4
(` = 0.5).
solution with respect to the local KL truncation from d = 1 to d = 6. The errors
are much bigger than those in Figure 5.21 confirming that in this case the dominant
error contribution stems from the truncation error of the local KL expansion.
78
−4
10
−5
10
1 2 3 4 5 6
Figure 5.22. Errors in the 2nd-order gPC solutions in with respect to

increasing dimensionality of the local KL expansions, using 5 subdo-
mains (` = 0.5).
79
5.7 Computational Cost
The local gPC method allows a time independent PDE in a global physical do-
main with a high-dimensional random dimension (from the KL-type expansion) to
be decomposed into a set of PDEs in smaller subdomains and with lower random
dimensionality. This can result in substantial computational saving, which is o↵set
by the interface problem (2.33) in the post-processing stage. The interface problem
can be expensive if one uses an exceedingly large number of subdomains.
In fact, the e↵ectiveness of the gPC method is a trade o↵ between the cost of
constructing the local PCE approximations on each subdomain and the cost of solving
the interface problem (2.33). Increasing the number of subdomains decreases the
dimensionality of the local KLE and thus the number of samples required to build
the local gPC approximation. However, increasing the the number of subdomains
requires solving a larger and more computationally expensive interface problem.
Here we present the simulation cost comparison for the two-dimensional example
with correlation length ` = 0.2 from Section 5.3. The global KL expansion results in
d = 94 random dimensions, obtained by retaining all eigenvalues greater than 10 1 .
The same truncation tolerance is then used in the local gPC solutions. The FEM
discretization is quadratic elements and in random space we employ the level three
Clenshaw-Curtis stochastic collocation. The computational cost is then estimated
using operational count and demonstrated in Figure 5.23.
We observe that as the number of subdomains increases, the cost for the construc-
tion of the local gPC solutions decreases fast, while the cost for the interface problem
becomes larger. And the solution of the interface problem quickly becomes the dom-
inant cost. Compared against the full FEM solution, we observe at least one order of
magnitude of computational saving, whenever one does not use an exceedingly large
number of subdomains. The comparison is obtained by assuming one generates 106
solution samples. Since both the interface problem and the full FEM solver are based
80
on sampling, the number of samples does not a↵ect the comparison whenever the cost
of interface problem dominates.
We finally remark that the computational cost comparison presented here is pre-
liminary. A complete understanding of efficiency gain by the local gPC method is
clearly problem dependent. Also, we have not investigated efficient implementation
of the local gPC method in this first paper. A more comprehensive study of the
computational cost and implementation is the subject of future work.
Figure 5.23. Computational cost in term of operation count versus

the number of subdomains used by the local gPC method for 2 ⇥ 2,
4 ⇥ 4, 8 ⇥ 8, 16 ⇥ 16 subdomains, along with the cost by the full global
FEM method.
81
6. SUMMARY
In this work we present a drastically di↵erent method to curb the difficulty posed by
high dimensionality (CoD). The method employs a domain decomposition strategy
so that a potentially high dimensional PDE can be solved locally in each subdomain.
A unique feature of the method is that the local problems in each element are of
very low dimension by local approximation, typically less than five, regardless of the
dimensionality of the random space in original governing equations.
The local subdomain problems are independently defined from each other and with
arbitrarily assigned boundary conditions (typically of Dirichlet type). The solution
of the subdomain problems are then sought in a gPC type by treating the boundary
conditions as auxiliary variables. As long as the gPC solutions in the subdomains are
sufficiently accurate, they allow one to accurately generate solution samples.
A proper coupling algorithm is then applied to each of these samples of the local
solutions at the post-processing stage, where a system of algebraic equations are
solved to ensure the samples satisfy the original governing equations in the global
domain. Applying the surrogate models using independent variables ( [51, 52]) can
indeed reproduce the statistics of the underlying problem via sampling, provided that
the surrogate models are accurate in a strong norm, which is relaxed from L1 norm
in the parameter space ( [51]) to Lp norm, p 1, in the more recent work of [52].
We extend the previous work [37] and continue to analyze the properties of the
local PCE method. After presenting a brief review of the local PCE method, we
reveal the intrinsic connection between the Schur complement in the tradition DDM
setting and the local PCE method at the interface coupling stage, which characterizes
the local PCE method as a deterministic coupling approach. Besides that, we also
discussed efficient implementation strageties for the important steps in the local PCE
82
method. This essentially lays a solid foundation for uncertainty quantification for
large scale complex systems in a high dimensional random space.
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VITA
87
VITA
Yi Chen was born on April 20th, 1987 in China. He received his B.S. degree of
mathematics and applied mathematics in 2009 at Zhejiang University. From 2010,
he started to work under Professor Dongbin Xiu0 s supervision towards the Ph.D.
degree in applied mathematics at Purdue University. For a detailed vita please go to
http://www.math.purdue.edu/⇠chen411.

Local Polynomial Chaos For High Dimensional SDE

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Purdue University

Local polynomial chaos expansion method for high

Follow this and additional works at: https://docs.lib.purdue.edu/open_access_dissertations

This is to certify that the thesis/dissertation prepared

For the degree of Doctor of Philosophy

Is approved by the final examining committee:

To the best of my knowledge and as understood by the student in the Thesis/Dissertation

Approved by Major Professor(s): Dongbin Xiu

Approved by: David Goldberg 6/6/2016

Head of the Departmental Graduate Program Date

FOR HIGH DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

Submitted to the Faculty

In Partial Fulfillment of the

Requirements for the Degree

West Lafayette, Indiana

PDEs Partial Di↵erential Equations

Polynomial chaos expansion is a widely adopted method to determine evolution

• Generalized Polynomial Chaos

• Stochastic Galerkin Method

• Stochastic Collocation Method

1.2.1 Generalized Polynomial Chaos

The fundamental properties of generalized polynomials chaos is presented in this

where N0 = {0, 1, 2, . . . }. A specific collections of orthogonal polynomial functions

E[ m (Z) n (Z)] = n mn , m, n 2 N0 (1.2)

are factors of normalization. If Z is discrete random variable, the orthogonality

When Z is a continuous random variable, its probability density function exists,

The orthogonality property builds a correspondence between the random variable Z

• Standard Gaussian random variable Z ⇠ N (0, 1) — Hermite polymonials

• Uniformly distributed random variable Z ⇠ U ( 1, 1) — Legendre polymonials

• Beta distributed random variable Z ⇠ B( 1, 1) — Jacobi polymonials

• Gamma distributed random variable Z ⇠ (k +1, 1, 0) — Laguerre polymonials

functions in the variable Zi with degree up to N , i.e,

Let i = (i1 , i2 , . . . , id ) 2 Nd0 be a multi index with |i| = i1 + i2 , + · · · + id . The

i (Z) = i1 (Z1 ) · · · id (Zd ), 0  |i|  N. (1.6)

Thus, the following holds,

where PN is the orthogonal projection operator. It is obvious that the dimension is

1.2.2 Stochastic Galerkin Method

In this section, I present the framework of the generalized polynomial chaos

where L is the di↵erential operator, B is the boundary condition operator and u0 is

u(x, t, Z) : D̄ ⇥ [0, T ] ⇥ Rd R, (1.11)

E[ i (Z), j (Z)] = i ij . (1.12)

such that for all k that |k|  N ,

1.2.3 Stochastic Collocation Method

systematic introduction could be found in [42]. A few notations of SC method will

where IZ is the support of Z and M  1 is the total number of nodes. Then, by

is deterministic sampling method, which usually use nodes of quadrature rules in

Tensor Product Collocation

It is natural to consider employing a univariate interpolation and fill the entire

Qmi [f ] = umi f (Zi ) 2 Pmi (Zi ) (1.23)

is an interpolating polynomial of degree mi , for a given function f in the Zi variable.

where the collection of nodes is,

and M = m1 ⇥ · · · ⇥ md . Most of the properties of the 1D interpolation approach

where we substitute m by M 1/d . This is an unfortunate situation for convergence,

Sparse Grid Collocation

It is hard to give a close form of number of nodes in ⇥M in term of M and N .

⇥i1 ⇢ ⇥j1 , i < j. (1.30)

||I QM ||1  Cd,l M l (logM )(l+2)(d 1)+1

Figure 1.1. 2-dimensional interpolation grids based on Clenshaw-

1.3 Research Outline

2. LOCALIZED POLYNOMIAL CHAOS METHODOLOGY

2.1 Problem Setup

where L is a di↵erential operator, B is a boundary operator. The random input

2.1.1 PDE with Random Inputs