A Multilevel, Hierarchical Sampling Technique for Spatially Correlated Random Fields (1703.08498v1)

Abstract: We propose an alternative method to generate samples of a spatially correlated random field with applications to large-scale problems for forward propagation of uncertainty. A classical approach for generating these samples is the Karhunen-Lo`{e}ve (KL) decomposition. However, the KL expansion requires solving a dense eigenvalue problem and is therefore computationally infeasible for large-scale problems. Sampling methods based on stochastic partial differential equations provide a highly scalable way to sample Gaussian fields, but the resulting parametrization is mesh dependent. We propose a multilevel decomposition of the stochastic field to allow for scalable, hierarchical sampling based on solving a mixed finite element formulation of a stochastic reaction-diffusion equation with a random, white noise source function. Numerical experiments are presented to demonstrate the scalability of the sampling method as well as numerical results of multilevel Monte Carlo simulations for a subsurface porous media flow application using the proposed sampling method.