A multilevel finite element method for Fredholm integral eigenvalue problems

Abstract

In this work, we proposed a multigrid finite element (MFE) method for solving the Fredholm integral eigenvalue problems. The main motivation for such studies is to compute the Karhunen–Loève expansions of random fields, which play an important role in the applications of uncertainty quantification. In our MFE framework, solving the eigenvalue problem is converted to doing a series of integral iterations and eigenvalue solving in the coarsest mesh. Then, any existing efficient integration scheme can be used for the associated integration process. The error estimates are provided, and the computational complexity is analyzed. It is noticed that the total computational work of our method is comparable with a single integration step in the finest mesh. Several numerical experiments are presented to validate the efficiency of the proposed numerical method.