A convergent adaptive stochastic Galerkin finite element method with quasi-optimal spatial meshes

Abstract

We analyze a posteriori error estimation and adaptive refinement algorithms for stochastic Galerkin Finite Element methods for countably-parametric, elliptic boundary value problems. A resid- ual error estimator which separates the effects of gpc-Galerkin discretization in parameter space and of the Finite Element discretization in physical space in energy norm is established. It is proved that the adaptive algorithm converges. To this end, a contraction property of its iterates is proved. It is shown that the sequences of triangulations which are produced by the algorithm in the FE discretization of the active gpc coefficients are asymptotically optimal. Numerical experiments illustrate the theoretical results.