Itô SDE-based generator for a class of non-Gaussian vector-valued random fields in uncertainty quantification

J. Guilleminot (1) , Christian Soize (1)

1 MSME - Laboratoire de Modélisation et Simulation Multi Echelle

This paper is concerned with the derivation of a generic sampling technique for a class of non-Gaussian vector-valued random fields. Such an issue typically arises in uncertainty quantification for complex systems, where the input coefficients associated with the elliptic operators must be identified by solving statistical inverse problems. Specifically, we consider the case of non-Gaussian random fields with values in some arbitrary bounded or semi-bounded subsets of R^n. The approach involves two main features. The first one is the construction of a family of random fields converging, at a user-controlled rate, towards the target random field. Each of these auxialiary random fields can be subsequently simulated by solving a family of Itô stochastic differential equations. The second ingredient is the definition of an adaptive discretization algorithm. The latter allows refining the integration step on-the-fly and prevents the scheme from diverging. The proposed strategy is finally exemplified on three examples, each of which serving as a benchmark, either for the adaptivity procedure or for the convergence of the diffusions.

Mots clés: random field; Itô stochastic differential equation; adaptive algorithm; uncertainty quantification

Domaines: Probabilités [math.PR]; Mécanique [physics.med-ph]

J. Guilleminot, Christian Soize. Itô SDE-based generator for a class of non-Gaussian vector-valued random fields in uncertainty quantification. SIAM Journal on Scientific Computing, 2014, Methods and Algorithms for Scientific Computing, 36 (6), pp.A2763-A2786. ⟨10.1137/130948586⟩. ⟨hal-01100173⟩