Convergence of a multiscale finite element method for elliptic problems with rapidly oscillating coefficients

We propose a multiscale finite element method for solving second order elliptic equations with rapidly oscillating coefficients. The main purpose is to design a numerical method which is capable of correctly capturing the large scale components of the solution on a coarse grid without accurately resolving all the small scale features in the solution. This is accomplished by incorporating the local microstructures of the differential operator into the finite element base functions. As a consequence, the base functions are adapted to the local properties of the differential operator. In this paper, we provide a detailed convergence analysis of our method under the assumption that the oscillating coefficient is of two scales and is periodic in the fast scale. While such a simplifying assumption is not required by our method, it allows us to use homogenization theory to obtain a useful asymptotic solution structure. The issue of boundary conditions for the base functions will be discussed. Our numerical experiments demonstrate convincingly that our multiscale method indeed converges to the correct solution, independently of the small scale in the homogenization limit. Application of our method to problems with continuous scales is also considered.

     

A mixed multiscale finite element method for elliptic problems with oscillating coefficients

The recently introduced multiscale finite element method for solving elliptic equations with oscillating coefficients is designed to capture the large-scale structure of the solutions without resolving all the fine-scale structures. Motivated by the numerical simulation of flow transport in highly heterogeneous porous media, we propose a mixed multiscale finite element method with an over-sampling technique for solving second order elliptic equations with rapidly oscillating coefficients. The multiscale finite element bases are constructed by locally solving Neumann boundary value problems. We provide a detailed convergence analysis of the method under the assumption that the oscillating coefficients are locally periodic. While such a simplifying assumption is not required by our method, it allows us to use homogenization theory to obtain the asymptotic structure of the solutions. Numerical experiments are carried out for flow transport in a porous medium with a random log-normal relative permeability to demonstrate the efficiency and accuracy of the proposed method.     

Numerical study in stochastic homogenization for elliptic partial differential equations: Convergence rate in the size of representative volume elements

We describe the numerical scheme for the discretization and solution of 2D elliptic equations with strongly varying piecewise constant coefficients arising in the stochastic homogenization of multiscale composite materials. An efficient stiffness matrix generation scheme based on assembling the local Kronecker product matrices is introduced. The resulting large linear systems of equations are solved by the preconditioned conjugate gradient iteration with a convergence rate that is independent of the grid size and the variation in jumping coefficients (contrast). Using this solver, we numerically investigate the convergence of the representative volume element (RVE) method in stochastic homogenization that extracts the effective behavior of the random coefficient field. Our numerical experiments confirm the asymptotic convergence rate of systematic error and standard deviation in the size of RVE rigorously established in Gloria et al. The asymptotic behavior of covariances of the homogenized matrix in the form of a quartic tensor is also studied numerically. Our approach allows laptop computation of sufficiently large number of stochastic realizations even for large sizes of the RVE.     

QTT-finite-element approximation for multiscale problems I: model problems in one dimension

Tensor-compressed numerical solution of elliptic multiscale-diffusion and high frequency scattering problems is considered. For either problem class, solutions exhibit multiple length scales governed by the corresponding scale parameter: the scale of oscillations of the diffusion coefficient or smallest wavelength, respectively. As is well-known, this imposes a scale-resolution requirement on the number of degrees of freedom required to accurately represent the solutions in standard finite-element (FE) discretizations. Low-order FE methods are by now generally perceived unsuitable for high-frequency coefficients in diffusion problems and high wavenumbers in scattering problems. Accordingly, special techniques have been proposed instead (such as numerical homogenization, heterogeneous multiscale method, oversampling, etc.) which require, in some form, a-priori information on the microstructure of the solution. We analyze the approximation properties of tensor-formatted, conforming first-order FE methods for scale resolution in multiscale problems without a-priori information. The FE methods are based on the dynamic extraction of principal components from stiffness matrices, load and solution vectors by the quantized tensor train (QTT) decomposition. For prototypical model problems, we prove that this approach, by means of the QTT reparametrization of the FE space, allows to identify effective degrees of freedom to replace the degrees of freedom of a uniform “virtual” (i.e. never directly accessed) mesh, whose number may be prohibitively large to realize computationally. Precisely, solutions of model elliptic homogenization and high-frequency acoustic scattering problems are proved to admit QTT-structured approximations whose number of effective degrees of freedom required to reach a prescribed approximation error scales polylogarithmically with respect to the reciprocal of the target Sobolev-norm accuracy ε with only a mild dependence on the scale parameter. No a-priori information on the nature of the problems and intrinsic length scales of the solution is required in the numerical realization of the presently proposed QTT-structured approach. Although only univariate model multiscale problems are analyzed in the present paper, QTT structured algorithms are applicable also in several variables. Detailed numerical experiments confirm the theoretical bounds. As a corollary of our analysis, we prove that for the mentioned model problems, the Kolmogorov n-widths of solution sets are exponentially small for analytic data, independently of the problems’ scale parameters. That implies, in particular, the exponential convergence of reduced basis techniques which is scale-robust, i.e., independent of the scale parameter in the problem.     

Low-cost control problems on perforated and non-perforated domains

We study the homogenization of a class of optimal control problems whose state equations are given by second order elliptic boundary value problems with oscillating coefficients posed on perforated and non-perforated domains. We attempt to describe the limit problem when the cost of the control is also of the same order as that describing the oscillations of the coefficients. We study the situations where the control and the state are both defined over the entire domain or when both are defined on the boundary.     

Optimization by the Homogenization Method for Nonlinear Elliptic Dirichlet Systems

We study the existence of solutions of control problems relative to a nonlinear elliptic system with Dirichlet boundary conditions. In this problem, the control variables are the coefficients of the equations and the open set where they are posed. It is known that this class of problems has no solution in general, but using homogenization results about elliptic systems we show the existence of solutions when the controls are searched in a bigger set. These results are related to the selection of optimal materials and shapes.     

Analysis of the heterogeneous multiscale method for elliptic homogenization problems

A comprehensive analysis is presented for the heterogeneous multiscale method (HMM for short) applied to various elliptic homogenization problems. These problems can be either linear or nonlinear, with deterministic or random coefficients. In most cases considered, optimal estimates are proved for the error between the HMM solutions and the homogenized solutions. Strategies for retrieving the microstructural information from the HMM solutions are discussed and analyzed.

     

On a multiscale analysis of an inverse problem of nonlinear transfer law identification in periodic microstructure

This paper is devoted to the multiscale analysis of a homogenization inverse problem of the heat exchange law identification, which is governed by parabolic equations with nonlinear transmission conditions in a periodic heterogeneous medium. The aim of this work is to transform this inverse problem with nonlinear transmission conditions into a new one governed by a less complex nonlinear parabolic equation, while preserving the same form and physical properties of the heat exchange law that it will be identified, based on periodic homogenization theory. For this, we reformulate first the encountered homogenization inverse problem to an optimal control one. Then, we study the well-posedness of the state problem using the Leray–Schauder topological degrees and we also check the existence of the solution for the obtained optimal control problem. Finally, using the periodic homogenization theory and priori estimates, with justified choise of test functions, we reduce our inverse problem to a less complex one in a homogeneous medium.     

Fast homogenization algorithm based on asymptotic theory and multiscale schemes

A time-frequency interpretation of the classical asymptotic theory of homogenization for elliptic PDE with periodic coefficients is presented and the relations with known multilevel/multiscale numerical schemes are investigated. We formulate a new fast iterative algorithm for the approximation of homogenized solutions based on the combination of these two apparently different approaches. The asymptotic homogenization process is interpreted as a migration to infinity of the frequencies related to microscale contributions and the discovering of those related to the homogenized solution. At different scale/frequency of the periodic coefficients of the operator, band-pass filters select only the contributions of the homogenized solution which is then composed as the limit of an iterative procedure. This novel method can be interpreted in case of finite difference discretizations as a generalized nonstationary subdivision scheme and its convergence and stability are discussed. In particular, stable compositions of the homogenized solution are investigated in relation with the contracting behavior of specific operators generated by reduction processes and Schur's complements of suitable matrices produced by discretizations via wavelets and multiscale bases. AMS subject classification 35B27, 35J25, 65N55, 65M99, 65T60, 78M25, 78M30 Maria Morandi Cecchi: The support of the italian MIUR under project “Numerical Modeling for Scientific Computing and Advanced Applications” (COFIN 2003) is gratefully acknowledged. Massimo Fornasier: The author acknowledges the financial support provided through the Intra-European Individual Marie Curie Fellowship, project FTFDORF-FP6-501018, and the hospitality of NuHAG (Numerical Harmonic Analysis Group), Facutly of Mathematics, University of Vienna, Austria.     

Homogenization and corrector for the wave equation with discontinuous coefficients in time

In this paper we analyze the homogenization of the wave equation with bounded variation coefficients in time, generalizing the classical result, which assumes Lipschitz-continuity. We start showing a general existence and uniqueness result for a general sort of hyperbolic equations. Then, we obtain our homogenization result comparing the solution of a sequence of wave equations to the solution of a sequence of elliptic ones. We conclude the paper making an analysis of the corrector. Firstly, we obtain a corrector result assuming that the derivative of the coefficients in the time variable is equicontinuous. This result was known for non-time dependent coefficients. After, we show, with a counterexample, that the regularity hypothesis for the corrector theorem is optimal in the sense that it does not hold if the time derivative of the coefficients is just bounded.     

Error estimates for the numerical approximation of Neumann control problems governed by a class of quasilinear elliptic equations

We study the numerical approximation of Neumann boundary optimal control problems governed by a class of quasilinear elliptic equations. The coefficients of the main part of the operator depend on the state function, as a consequence the state equation is not monotone. We prove that strict local minima of the control problem can be approximated uniformly by local minima of discrete control problems and we also get an estimate of the rate of this convergence. One of the main issues in this study is the error analysis of the discretization of the state and adjoint state equations. Some difficulties arise due to the lack of uniqueness of solution of the discrete equations. The theoretical results are illustrated by numerical tests.     

Numerical solution of the finite horizon stochastic linear quadratic control problem

The treatment of the stochastic linear quadratic optimal control problem with finite time horizon requires the solution of stochastic differential Riccati equations. We propose efficient numerical methods, which exploit the particular structure and can be applied for large‐scale systems. They are based on numerical methods for ordinary differential equations such as Rosenbrock methods, backward differentiation formulas, and splitting methods. The performance of our approach is tested in numerical experiments.     

Multiscale asymptotic expansion and finite element methods for the mixed boundary value problems of second order elliptic equation in perforated domains

In this paper, we will discuss the mixed boundary value problems for the second order elliptic equation with rapidly oscillating coefficients in perforated domains, and will present the higher-order multiscale asymptotic expansion of the solution for the problem, which will play an important role in the numerical computation . The convergence theorems and their rigorous proofs will be given. Finally a multiscale finite element method and some numerical results will be presented. This work is Supported by National Natural Science Foundation of China (grant # 10372108, # 90405016), and Special Funds for Major State Basic Research Projects( grant # TG2000067102)     

A Fast and Stable Algorithm for Linear Parabolic Partial Differential Equations

In the paper, a two-grid finite element scheme is discussed for distributed optimal control governed by elliptic equations. With this new scheme, the solution of the elliptic optimal control problem on a fine grid is reduced to the solution of the elliptic optimal control problem on a much coarser grid and the solution of a linear algebraic system on the fine grid and the resulting solution still maintains an asymptotically optimal accuracy. Finally, numerical experiments are carried out to confirm the considered theory.     

Spectral analysis and numerical simulation for second order elliptic operator with highly oscillating coefficients in perforated domains with a periodic structure

This paper discusses the spectral properties and numerical simulation for the second order elliptic operators with rapidly oscillating coefficients in the domains which may contain small cavities distributed periodically with period ε. A multiscale asymptotic analysis formula for this problem is obtained by constructing properly the boundary layer. Finally, numerical results are given, which provide a strong support for the analytical estimates     

A finite element method for elliptic problems with rapidly oscillating coefficients

In this paper, we consider solving second-order elliptic problems with rapidly oscillating coefficients. Under the assumption that the oscillating coefficients are periodic, on the basis of classical homogenization theory, we present a finite element method whose key is to combine a numerical approximation of the 1-order approximate solution of those equations and a numerical approximation of the classical boundary corrector of those equations from different meshes exploiting the need for different levels of resolution. Numerical experiments are included to illustrate the competitive behavior of the proposed finite element method.     

A Multiscale Multilevel Monte Carlo Method for Multiscale Elliptic PDEs with Random Coefficients

We propose a multiscale multilevel Monte Carlo(MsMLMC) method to solve multiscale elliptic PDEs with random coefficients in the multi-query setting. Our method consists of offline and online stages. In the offline stage,we construct a small number of reduced basis functions within each coarse grid block, which can then be used to approximate the multiscale finite element basis functions. In the online stage, we can obtain the multiscale finite element basis very efficiently on a coarse grid by using the pre-computed multiscale basis.The MsMLMC method can be applied to multiscale RPDE starting with a relatively coarse grid, without requiring the coarsest grid to resolve the smallestscale of the solution. We have performed complexity analysis and shown that the MsMLMC offers considerable savings in solving multiscale elliptic PDEs with random coefficients. Moreover, we provide convergence analysis of the proposed method. Numerical results are presented to demonstrate the accuracy and efficiency of the proposed method for several multiscale stochastic problems without scale separation.     

Polynomial approximations of a class of stochastic multiscale elasticity problems

We consider a class of elasticity equations in \({\mathbb{R}^d}\) whose elastic moduli depend on n separated microscopic scales. The moduli are random and expressed as a linear expansion of a countable sequence of random variables which are independently and identically uniformly distributed in a compact interval. The multiscale Hellinger–Reissner mixed problem that allows for computing the stress directly and the multiscale mixed problem with a penalty term for nearly incompressible isotropic materials are considered. The stochastic problems are studied via deterministic problems that depend on a countable number of real parameters which represent the probabilistic law of the stochastic equations. We study the multiscale homogenized problems that contain all the macroscopic and microscopic information. The solutions of these multiscale homogenized problems are written as generalized polynomial chaos (gpc) expansions. We approximate these solutions by semidiscrete Galerkin approximating problems that project into the spaces of functions with only a finite number of N gpc modes. Assuming summability properties for the coefficients of the elastic moduli’s expansion, we deduce bounds and summability properties for the solutions’ gpc expansion coefficients. These bounds imply explicit rates of convergence in terms of N when the gpc modes used for the Galerkin approximation are chosen to correspond to the best N terms in the gpc expansion. For the mixed problem with a penalty term for nearly incompressible materials, we show that the rate of convergence for the best N term approximation is independent of the Lamé constants’ ratio when it goes to \({\infty}\). Correctors for the homogenization problem are deduced. From these we establish correctors for the solutions of the parametric multiscale problems in terms of the semidiscrete Galerkin approximations. For two-scale problems, an explicit homogenization error which is uniform with respect to the parameters is deduced. Together with the best N term approximation error, it provides an explicit convergence rate for the correctors of the parametric multiscale problems. For nearly incompressible materials, we obtain a homogenization error that is independent of the ratio of the Lamé constants, so that the error for the corrector is also independent of this ratio.     

Parallel solvers for flow control based on domain decomposition

We sketch a non-overlapping domain decomposition method (DDM) for a linear quadratic optimal control problem governed by the Oseen equations. The DDM is applied to the system of necessary and sufficient optimality conditions. The approach extends balanced Neumann Neumann DDMs from single partial differential equations (PDEs) to the optimization control context, and it extends previous work on balanced Neumann Neumann DDMs for the optimal control of scalar elliptic PDEs to the optimal control of the Oseen equations. This extension requires a careful handling of the incompressibility constraint and resulting compatibility conditions, as well as a careful handling of the advection term. The DDM is used to parallelize the matrix-vector operations for the optimality system, as well as to parallelize the preconditioner. We present two approaches. One tackles the global optimality system directly, the other forms the Schur complement corresponding to variables on the subdomain interfaces. We present numerical experiments which clearly show the potential of the approaches. (© 2013 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Multiscale asymptotic method of optimal control on the boundary for heat equations of composite materials

In this paper, we study the optimal control on the boundary for parabolic equations with rapidly oscillating coefficients arising from the heat transfer problems and the optimal control on the boundary of composite materials or porous media. The multiscale asymptotic expansion of the solution for the problem in the case without any constraints is presented. We derive the proofs of all convergence results.