Solving Stochastic Eigenvalue Problem of Wick Type
نویسندگان
چکیده
In this paper we study mathematically the eigenvalue problem for stochastic elliptic partial differential equation of Wick type. Using the Wick-product and the Wiener-Itô chaos expansion, the stochastic eigenvalue problem is reformulated as a system of an eigenvalue problem for a deterministic partial differential equation and elliptic partial differential equations by using the Fredholm alternative. To reduce the computational complexity of this system, we shall use a decomposition method using the Wiener-Itô chaos expansion. Once the approximation of the solution is performed using the finite element method for example, the statistics of the numerical solution can be easily evaluated. Keywords—Eigenvalue problem, Wick product, SPDEs, finite element, Wiener-Itô chaos expansion.
منابع مشابه
Some results on the symmetric doubly stochastic inverse eigenvalue problem
The symmetric doubly stochastic inverse eigenvalue problem (hereafter SDIEP) is to determine the necessary and sufficient conditions for an $n$-tuple $sigma=(1,lambda_{2},lambda_{3},ldots,lambda_{n})in mathbb{R}^{n}$ with $|lambda_{i}|leq 1,~i=1,2,ldots,n$, to be the spectrum of an $ntimes n$ symmetric doubly stochastic matrix $A$. If there exists an $ntimes n$ symmetric doubly stochastic ...
متن کاملSolving fuzzy stochastic multi-objective programming problems based on a fuzzy inequality
Probabilistic or stochastic programming is a framework for modeling optimization problems that involve uncertainty.In this paper, we focus on multi-objective linear programmingproblems in which the coefficients of constraints and the righthand side vector are fuzzy random variables. There are several methodsin the literature that convert this problem to a stochastic or<b...
متن کاملStochastic Approach to Vehicle Routing Problem: Development and Theories
Stochastic Approach to Vehicle Routing Problem: Development and Theories Abstract In this article, a chance constrained (CCP) formulation of the Vehicle Routing Problem (VRP) is proposed. The reality is that once we convert some special form of probabilistic constraint into their equivalent deterministic form then a nonlinear constraint generates. Knowing that reliable computer software...
متن کاملNumerical Methods for Solving Inverse Eigenvalue Problems for Nonnegative Matrices
Presented are two related numerical methods, one for the inverse eigenvalue problem for nonnegative or stochastic matrices and another for the inverse eigenvalue problem for symmetric nonnegative matrices. The methods are iterative in nature and utilize alternating projection ideas. For the symmetric problem, the main computational component of each iteration is an eigenvalue-eigenvector decomp...
متن کاملA Meshless Method for Computational Stochastic Mechanics
This paper presents a stochastic meshless method for probabilistic analysis of linear-elastic structures with spatially varying random material properties. Using Karhunen-Loève (K-L) expansion, the homogeneous random field representing material properties was discretized by a set of orthonormal eigenfunctions and uncorrelated random variables. Two numerical methods were developed for solving th...
متن کامل