Preconditioners based on Voronoi quantizers of random variable coefficients for stochastic elliptic partial differential equations
<|reference_start|>Preconditioners based on Voronoi quantizers of random variable coefficients for stochastic elliptic partial differential equations: A preconditioning strategy is proposed for the iterative solve of large numbers of linear systems with variable matrix and right-hand side which arise during the computation of solution statistics of stochastic elliptic partial differential equations with random variable coefficients sampled by Monte Carlo. Building on the assumption that a truncated Karhunen-Lo\`{e}ve expansion of a known transform of the random variable coefficient is known, we introduce a compact representation of the random coefficient in the form of a Voronoi quantizer. The number of Voronoi cells, each of which is represented by a centroidal variable coefficient, is set to the prescribed number $P$ of preconditioners. Upon sampling the random variable coefficient, the linear system assembled with a given realization of the coefficient is solved with the preconditioner whose centroidal variable coefficient is the closest to the realization. We consider different ways to define and obtain the centroidal variable coefficients, and we investigate the properties of the induced preconditioning strategies in terms of average number of solver iterations for sequential simulations, and of load balancing for parallel simulations. Another approach, which is based on deterministic grids on the system of stochastic coordinates of the truncated representation of the random variable coefficient, is proposed with a stochastic dimension which increases with the number $P$ of preconditioners. This approach allows to bypass the need for preliminary computations in order to determine the optimal stochastic dimension of the truncated approximation of the random variable coefficient for a given number of preconditioners.<|reference_end|>
@article{venkovic2024preconditioners,
    title={Preconditioners based on Voronoi quantizers of random variable
  coefficients for stochastic elliptic partial differential equations},
    author={Nicolas Venkovic, Paul Mycek, Olivier Le Ma^itre and Luc Giraud},
    journal={arXiv preprint arXiv:2403.07824},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.07824},
    primaryClass={math.NA cs.NA}
}