The quantification of probabilistic uncertainties in the outputs of physical, biological, and social systems governed by partial differential equations with random inputs require, in practice, the discretization of those equations. Stochastic finite element methods refer to an extensive class of algorithms for the approximate solution of partial differential equations having random input data, for which spatial discretization is effected by a finite element method. Fully discrete approximations require further discretization with respect to solution dependences on the random variables. For this purpose several approaches have been developed, including intrusive approaches such as stochastic Galerkin methods, for which the physical and probabilistic degrees of freedom are coupled, and non-intrusive approaches such as stochastic sampling and interpolatory-type stochastic collocation methods, for which the physical and probabilistic degrees of freedom are uncoupled. All these method classes are surveyed in this article, including some novel recent developments. Details about the construction of the various algorithms and about theoretical error estimates and complexity analyses of the algorithms are provided. Throughout, numerical examples are used to illustrate the theoretical results and to provide further insights into the methodologies.

In this paper we propose a stable multistep scheme on time-space grids for solving backward stochastic differential equations. In our scheme, the integrands, which are conditional mathematical expectations derived from the original equations, are approximated by using Lagrange interpolating polynomials with values of the integrands at multiple time levels. They are then numerically evaluated using the Gauss–Hermite quadrature rules and polynomial interpolations on the spatial grids. Error estimates are rigorously proved for the semidiscrete version of the proposed scheme for backward stochastic differential equations with certain types of simplified generator functions. Finally, various numerical examples and comparisons with some other methods are presented to demonstrate high accuracy of the proposed multistep scheme.

[1] Bayesian analysis has become vital to uncertainty quantification in groundwater modeling, but its application has been hindered by the computational cost associated with numerous model executions required by exploring the posterior probability density function (PPDF) of model parameters. This is particularly the case when the PPDF is estimated using Markov Chain Monte Carlo (MCMC) sampling. In this study, a new approach is developed to improve the computational efficiency of Bayesian inference by constructing a surrogate of the PPDF, using an adaptive sparse-grid high-order stochastic collocation (aSG-hSC) method. Unlike previous works using first-order hierarchical basis, this paper utilizes a compactly supported higher-order hierarchical basis to construct the surrogate system, resulting in a significant reduction in the number of required model executions. In addition, using the hierarchical surplus as an error indicator allows locally adaptive refinement of sparse grids in the parameter space, which further improves computational efficiency. To efficiently build the surrogate system for the PPDF with multiple significant modes, optimization techniques are used to identify the modes, for which high-probability regions are defined and components of the aSG-hSC approximation are constructed. After the surrogate is determined, the PPDF can be evaluated by sampling the surrogate system directly without model execution, resulting in improved efficiency of the surrogate-based MCMC compared with conventional MCMC. The developed method is evaluated using two synthetic groundwater reactive transport models. The first example involves coupled linear reactions and demonstrates the accuracy of our high-order hierarchical basis approach in approximating high-dimensional posteriori distribution. The second example is highly nonlinear because of the reactions of uranium surface complexation, and demonstrates how the iterative aSG-hSC method is able to capture multimodal and non-Gaussian features of PPDF caused by model nonlinearity. Both experiments show that aSG-hSC is an effective and efficient tool for Bayesian inference.

Global sensitivity analysis (GSA) and uncertainty quantification (UQ) for groundwater modeling are challenging because of the model complexity and significant computational requirements. To reduce the massive computational cost, a cheap‐to‐evaluate surrogate model is usually constructed to approximate and replace the expensive groundwater models in the GSA and UQ. Constructing an accurate surrogate requires actual model simulations on a number of parameter samples. Thus, a robust experimental design strategy is desired to locate informative samples so as to reduce the computational cost in surrogate construction and consequently to improve the efficiency in the GSA and UQ. In this study, we develop a Taylor expansion‐based adaptive design (TEAD) that aims to build an accurate global surrogate model with a small training sample size. TEAD defines a novel hybrid score function to search informative samples, and a robust stopping criterion to terminate the sample search that guarantees the resulted approximation errors satisfy the desired accuracy. The good performance of TEAD in building global surrogate models is demonstrated in seven analytical functions with different dimensionality and complexity in comparison to two widely used experimental design methods. The application of the TEAD‐based surrogate method in two groundwater models shows that the TEAD design can effectively improve the computational efficiency of GSA and UQ for groundwater modeling.

A stochastic collocation method for solving linear parabolic partial differential equations with random coefficients, forcing terms, and initial conditions is analyzed. The input data are assumed to depend on a finite number of random variables. Unlike previous analyses, a wider range of situations are considered, including input data that depend nonlinearly on the random variables and random variables that are correlated or even unbounded. We provide a rigorous convergence analysis and demonstrate the exponential decay of the interpolation error in the probability space for both finite element semidiscrete spatial discretizations and for finite element, Crank--Nicolson fully discrete space-time discretizations. Ingredients in the convergence analysis include the proof of the analyticity, with respect to the probabilistic parameters, of the semidiscrete and fully discrete approximate solutions. A numerical example is provided to illustrate the analyses.