A concurrent model reduction approach on spatial and random domains for the solution of stochastic PDEs

A methodology is introduced for rapid reduced-order solution of stochastic partial differential equations. On the random domain, a generalized polynomial chaos expansion (GPCE) is used to generate a reduced subspace. GPCE involves expansion of the random variable as a linear combination of basis functions defined using orthogonal polynomials from the Askey series. A proper orthogonal decomposition (POD) approach coupled with the method of snapshots is used to generate a reduced solution space from the space spanned by the finite element basis functions on the spatial domain. POD methods have been extremely popular in fluid mechanics applications and have subsequently been applied to other interesting areas. They have been shown to be capable of representing complicated phenomena with a handful of degrees of freedom. This concurrent model reduction on the random and spatial domains is applied to stochastic partial differential equations (PDEs) in natural convection processes involving randomness in the porosity of the medium and the Rayleigh number. The results indicate that owing to the multiplicative nature of the concurrent model reduction, extremely large computational gains are realized without significant loss of accuracy. Copyright (c) 2005 John Wiley & Sons, Ltd.