Karhunen-Loève approximation of random fields by generalized fast multipole methods
Journal of Computational Physics - Special issue: Uncertainty quantification in simulation science
Breaking the Curse of Dimensionality, Or How to Use SVD in Many Dimensions
SIAM Journal on Scientific Computing
Convergence Rates of Best N-term Galerkin Approximations for a Class of Elliptic sPDEs
Foundations of Computational Mathematics
Hierarchical Singular Value Decomposition of Tensors
SIAM Journal on Matrix Analysis and Applications
Tensor-Structured Galerkin Approximation of Parametric and Stochastic Elliptic PDEs
SIAM Journal on Scientific Computing
SIAM Journal on Scientific Computing
Editorial: High-order finite element approximation for partial differential equations
Computers & Mathematics with Applications
Approximation rates for the hierarchical tensor format in periodic Sobolev spaces
Journal of Complexity
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In this article, we describe an efficient approximation of the stochastic Galerkin matrix which stems from a stationary diffusion equation. The uncertain permeability coefficient is assumed to be a log-normal random field with given covariance and mean functions. The approximation is done in the canonical tensor format and then compared numerically with the tensor train and hierarchical tensor formats. It will be shown that under additional assumptions the approximation error depends only on the smoothness of the covariance function and does not depend either on the number of random variables nor the degree of the multivariate Hermite polynomials.