Multi-level higher order QMC Galerkin discretization for affine parametric operator equations

Abstract

We develop a convergence analysis of a multi-level algorithm combining higher order quasi-Monte Carlo (QMC) quadratures with general Petrov-Galerkin discretizations of countably affine parametric operator equations of elliptic and parabolic type, extending both the multi-Level first order analysis in [F.Y. Kuo, Ch. Schwab, and I.H. Sloan, Multi-level quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficient (in review)] and the single level higher order analysis in [J. Dick, F.Y. Kuo, Q.T. Le Gia, D. Nuyens, and Ch. Schwab, Higher order QMC Galerkin discretization for parametric operator equations (in review)]. We cover, in particular, both definite as well as indefinite, strongly elliptic systems of partial differential equations (PDEs) in non-smooth domains, and discuss in detail the impact of higher order derivatives of Karhunen-Loève eigenfunctions in the parametrization of random PDE inputs on the convergence results. Based on our a-priori error bounds, concrete choices of algorithm Parameters are proposed in order to achieve a prescribed accuracy under minimal computational work. Problem classes and sufficient conditions on data are identified where multi-level higher order QMC Petrov-Galerkin algorithms outperform the corresponding single level versions of these algorithms