Matteo Croci

Patrick E. Farrell, Matteo Croci, Thomas M. Surowiec

Variational inequalities can in general support distinct solutions. In this paper we study an algorithm for computing distinct solutions of a variational inequality, without varying the initial guess supplied to the solver. The central idea is the combination of a semismooth Newton method with a deflation operator that eliminates known solutions from consideration. Given one root of a semismooth residual, deflation constructs a new problem for which a semismooth Newton method will not converge to the known root, even from the same initial guess. This enables the discovery of other roots. We prove the effectiveness of the deflation technique under the same assumptions that guarantee locally superlinear convergence of a semismooth Newton method. We demonstrate its utility on various finite- and infinite-dimensional examples drawn from constrained optimization, game theory, economics and solid mechanics.

Matteo Croci, Michael B. Giles, Marie E. Rognes et al.

When solving stochastic partial differential equations (SPDEs) driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. Here, we present a new sampling technique that can be used to efficiently compute white noise samples in a finite element method and multilevel Monte Carlo (MLMC) setting. The key idea is to exploit the finite element matrix assembly procedure and factorize each local mass matrix independently, hence avoiding the factorization of a large matrix. Moreover, in a MLMC framework, the white noise samples must be coupled between subsequent levels. We show how our technique can be used to enforce this coupling even in the case of non-nested mesh hierarchies. We demonstrate the efficacy of our method with numerical experiments. We observe optimal convergence rates for the finite element solution of the elliptic SPDEs of interest in 2D and 3D and we show convergence of the sampled field covariances. In a MLMC setting, a good coupling is enforced and the telescoping sum is respected.