Abstract
We use Monte Carlo, ensemble and hybrid discontinuous Galerkin method (EMC-HDG) to numerically solve parabolic partial differential equations (PDEs) with random coefficients. The proposed method reduces the computational cost and the storage requirement by solving multiple linear systems with a common coefficient matrix. Error analysis shows the proposed method is first-order accurate in time and optimal convergence order in physical space. In the end, several numerical experiments are presented to verify the theoretical results.
Disclosure statement
No potential conflict of interest was reported by the author(s).