A multilevel adaptive sparse grid stochastic collocation approach to the non-smooth forward propagation of uncertainty in discretized problems

Abstract: This work proposes a scheme for significantly reducing the computational complexity of discretized problems involving the non-smooth forward propagation of uncertainty by combining the adaptive hierarchical sparse grid stochastic collocation method (ALSGC) with a hierarchy of successively finer spatial discretizations (e.g. finite elements) of the underlying deterministic problem. To achieve this, we build strongly upon ideas from the Multilevel Monte Carlo method (MLMC), which represents a well-established technique for the reduction of computational complexity in problems affected by both deterministic and stochastic error contributions. The resulting approach is termed the Multilevel Adaptive Sparse Grid Collocation (MLASGC) method. Preliminary results for a low-dimensional, non-smooth parametric ODE problem are promising: the proposed MLASGC method exhibits an error/cost-relation of $\varepsilon \sim t^{-0.95}$ and therefore significantly outperforms the single-level ALSGC ($\varepsilon \sim t^{-0.65}$) and MLMC methods ($\varepsilon \lesssim t^{-0.5}$).