Preconditioning stochastic galerkin saddle point systems

Catherine E. Powell, Elisabeth Ullmann

Research output: Contribution to journalArticlepeer-review

21 Scopus citations


Mixed finite element discretizations of deterministic second-order elliptic PDEs lead to saddle point systems for which the study of iterative solvers and preconditioners is mature. Galerkin approximation of solutions of stochastic second-order elliptic PDEs, which couple standard mixed finite element discretizations in physical space with global polynomial approximation on a probability space, also give rise to linear systems with familiar saddle point structure. For stochastically nonlinear problems, the solution of such systems presents a serious computational challenge. The blocks are sums of Kronecker products of pairs of matrices associated with two distinct discretizations, and the systems are large, reflecting the curse of dimensionality inherent in most stochastic approximation schemes. Moreover, for the problems considered herein, the leading blocks of the saddle point matrices are block-dense, and the cost of a matrix vector product is nontrivial. We implement a stochastic Galerkin discretization for the steady-state diffusion problem written as a mixed first-order system. The diffusion coefficient is assumed to be a lognormal random field, approximated via a nonlinear function of a finite number of Gaussian random variables. We study the resulting saddle point systems and investigate the efficiency of block-diagonal preconditioners of Schur complement and augmented type for use with the minimal residual method (MINRES). By introducing so-called Kronecker product preconditioners, we improve the robustness of cheap, mean-based preconditioners with respect to the statistical properties of the stochastically nonlinear diffusion coefficients.

Original languageEnglish
Pages (from-to)2813-2840
Number of pages28
JournalSIAM Journal on Matrix Analysis and Applications
Issue number5
StatePublished - 2010
Externally publishedYes


  • H(div) approximation
  • Kronecker product
  • Lognormal random field
  • Multigrid
  • Preconditioning
  • Saddle point matrices
  • Stochastic Galerkin finite element method


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