A Posteriori Error Estimation

1. Motivations & Preliminaries

1.1. « Truth » Problem statement

Let \(\mu \in \mathcal{D}^{\mu}\), evaluate \(\displaystyle s (\mu) = \ell (u (\mu))\) where \(u (\mu) \in X\) satisfies \(a (u (\mu), v; \mu ) = f (v), \quad \forall \: v \in X\).

Assumptions :

  • linearity, coercivity, continuity

  • affine parameter dependence; and

  • compliance: \(\ell=f\), \(a\) symmetric

1.2. Reduced Basis Sample and Space

Parameter Samples: \(S_N = \{ \mu_1 \in \mathcal{D}^{\mu}, \ldots, \mu_N \in \mathcal{D}^{\mu} \}\quad 1 \leq N \leq N_{\mathrm{max}}\), with \(S_1 \subset S_2 \ldots S_{N_\mathrm{max}-1} \subset S_{N_\mathrm{max}} \subset \mathcal{D}^\mu\).

Lagrangian Hierarchical Space \(W_N = {\rm span} \: \{ \xi^n \equiv \underbrace{ u (\mu^n)}_{u^{\mathcal{N}} (\mu^n)}, n = 1, \ldots, N \}\), with \(W_1 \subset W_2 \ldots \subset W_{N_\mathrm{max}} \subset X^{\mathcal{N}} \subset{X}\)

1.3. Reduced basis approximation

Given \(\mu \in \mathcal{D}^{\mu} \) evaluate \(s_N (\mu) = f(u_N (\mu);\mu)\) where \(u_N (\mu) \in X_N\) satisfies \(a (u_N (\mu), v; \mu) = f(v;\mu), \ \forall \: v \in X_N\).


  • RB Space: \(X_N=« \text{Gram-Schmidt} »(W_N)\)

  • \(u_N(\mu)\) unique (coercivity, continuity, linear dependence)

1.4. Coercivity and Continuity Constants

We assume \(a\) coercive and continuous

Recall that

  • coercivity constant \((0 < ) \alpha(\mu) \equiv \inf_{v\in X}\dfrac{a(v,v;\mu)}{||v||^2_X}\),

  • continuity constant \(\gamma(\mu) \equiv \sup_{w\in X} \sup_{v\in X}\dfrac{a(w,v;\mu)}{\|w\|_X \|v\|_X} ( < \infty)\)

Affine dependence and parametric coercivity We assume that \(a: X\times X \times \mathcal{D} \rightarrow \mathbb{R}\) is

  • affine : \(a(u,v;\mu) = \displaystyle\sum_{q=1}^{Q_a} \Theta^q_a(\mu)\ a^q( u, v ),\, \forall u,v \in X\)

  • and paraletrically coercive : \(\Theta^q_a(\mu) > 0\quad \forall \mu \in \mathcal{D}, \, 1 \leq q \leq Q_a\) and \(a^q(u,v) \geq 0\quad \forall u,v \in X, \, 1 \leq q \leq Q_a\)

1.5. Inner Products and Norms

  • energy inner product and associated norm (parameter dependant)

\begin{aligned} (((w,v)))_\mu &= a(w,v;\mu) &\ \forall u,v \in X\\ |||v|||_\mu &= \sqrt{a(v,v;\mu)} &\ \forall v \in X \end{aligned}
  • \(X\)-inner product and associated norm (parameter independant)

\[\begin{aligned} (w,v)_X &= (((w,v)))_{\bar{\mu}} \ (\equiv a(w,v;\bar{\mu})) &\ \forall u,v \in X\\ ||v||_X &= |||v|||_{\bar{\mu}} \ (\equiv \sqrt{a(v,v;\bar{\mu})}) & \ \forall v \in X \end{aligned}\]

2. Bound theorems

2.1. Questions

  • What is the accuracy of \(u_N(\mu)\) and \(s_N(\mu)\) ? Online

\[\begin{aligned} \|u(\mu)-u_N(\mu)\|_X &\leq \epsilon_{\mathrm{tol}}, \quad \forall \mu \in \mathcal{D}^\mu\\ |s(\mu)-s_N(\mu)\|_X &\leq \epsilon^s_{\mathrm{tol}}, \quad \forall \mu \in \mathcal{D}^\mu\\ \end{aligned}\]
  • What is the best value for \(N\) ? Offline/Online

    • \(N\) too large \(\Rightarrow\) computational inefficiency

    • \(N\) too small \(\Rightarrow\) unacceptable error

  • How should we build \(S_N\) ? is there an optimal construction ? Offline

    • Good approximation of the manifold \(\mathcal{M}\) through the RB space, but

    • need for well conditioned RB matrices

2.2. A Posteriori Error Estimation: Requirements

We shall develop the following error bounds \(\Delta_N(\mu)\) and \(\Delta^s_N(\mu)\) with the following properties

  • Rigorous : \(1 \leq N \leq N_{\mathrm{max}}\),

\begin{aligned} \|u(\mu)-u_N(\mu)\|_X &\leq \Delta_N(\mu), \quad \forall \mu \in \mathcal{D}^\mu\\ |s(\mu)-s_N(\mu)| &\leq \Delta^s_N(\mu), \quad \forall \mu \in \mathcal{D}^\mu \end{aligned}
  • reasonably sharp \(1 \leq N \leq N_{\mathrm{max}}\)

\begin{gathered} \frac{\Delta_N(\mu)}{\|u(\mu)-u_N(\mu)\|_X} \leq C,\\ \frac{\Delta^s_N(\mu)}{|s(\mu)-s_N(\mu)|} \leq C,\\C\approx 1 \end{gathered}
  • efficient : Online cost depend only on \(Q\) and \(N\) and not \(\mathcal{N}\).

2.3. \(u_N(\mu)\) : Error equation and residual dual norm

Given our RB approximation \(u_N(\mu)\), we have \(e(\mu) \equiv u(\mu) - u_N(\mu)\) that satisfies \(a( e(\mu), v; \mu ) \ = \ r( u_N(\mu), v; \mu ), \forall v \in X\), where \(r( u_N(\mu), v; \mu ) = f(v) - a( u_N(\mu), v; \mu )\) is the residual. We have then from coercivity and the definitions above that

\[||e(\mu)||_{X} \ \leq\ \dfrac{||r( u_N(\mu), v; \mu )||_{X'}}{\alpha(\mu)}\ =\ \dfrac{\varepsilon_N(\mu)}{\alpha(\mu)}\]

2.4. Dual norm of the residual


Given \(\mu \in \mathcal{D}^\mu\), the dual norm of \(r(u_N(\mu),\cdot;\mu)\) is defined as follows

\[\begin{aligned} ||r(u_N(\mu),\cdot;\mu)||_{X'} & \equiv \sup_{v\in X} \frac{r(u_N(\mu),v;\mu)}{||v||_X}\\ & = ||\hat{e}(\mu)||_X \end{aligned}\]

where \(\hat{e}(\mu)\in X\) satisfies \((\hat{e}(\mu),v)_X = r(u_N(\mu),v;\mu)\)

The error residual equation can then be rewritten \(a( e(\mu), v; \mu ) \ = (\hat{e}(\mu),v)_X, \quad \forall v \in X\)

2.5. \(u_N(\mu)\) : Definitions of energy error bounds and effectivity

Given \(\alpha_\mathrm{LB}(\mu)\) a nonnegative lower bound of \(\alpha(\mu)\):

\[\alpha(\mu)\geq {\alpha_{{\mathrm{LB}}}}(\mu)\geq \epsilon_{\alpha} \alpha(\mu), \epsilon_{\alpha} \in ]0,1[,\, \forall \mu \in \mathcal{D}^\mu\]

Denote \(\varepsilon_N(\mu) = \|\hat{e}(\mu)\|_X = \|r(u_N(\mu),v;\mu\|_{X'}\)

Definition : Energy error bound
\[\Delta^{\mathrm{en}}_N(\mu) \ \equiv \ \frac{\varepsilon_N(\mu)}{\sqrt{{\alpha_{{\mathrm{LB}}}}(\mu)}}\]
Definition : Effectivity
\[\eta^{\mathrm{en}}_N(\mu) \ \equiv \ \frac{\Delta^{\mathrm{en}}_N(\mu)}{|||e(\mu)|||_\mu}\]
Proposition : Energy error bound
\[1 \ \leq\ \eta^{\mathrm{en}}_N(\mu) \ \leq \sqrt{\frac{{\gamma_{{\mathrm{UB}}}}(\mu)}{{\alpha_{{\mathrm{LB}}}}(\mu)}}, \quad 1 \leq N \leq N_{\max}, \quad \forall \mu\ \in \ \mathcal{D}^\mu\]

Remarks :

  • Rigorous : Left inequality ensures rigorous upper bound measured in \(||\cdot||_{X}\) , i.e. \(||e(\mu)||_{X} \leq \Delta_N(\mu),\ \forall \mu \in \mathcal{D}^\mu\)

  • Sharp : Right inequality states that \(\Delta_N(\mu)\) overestimates the « true » error by at most \(\gamma(\mu) / {\alpha_{{\mathrm{LB}}}}(\mu)\)

  • for \(a\) paralmetrically coercive and symmetric

\[\theta^{\bar{\mu}} \equiv \frac{\Theta^{\max,\bar{\mu}}_a(\mu)}{\Theta^{\min,\bar{\mu}}_a(\mu)} = \frac{\gamma_{\mathrm{ub}}(\mu)}{\alpha_{\mathrm{lb}}(\mu)}\]

2.6. \(s_N(\mu)\) : output error bounds

Proposition : Output error bound
\[1 \ \leq\ \eta^s_N(\mu) \ \leq \dfrac{{\gamma_{{\mathrm{UB}}}}(\mu)}{{\alpha_\mathrm{LB}}(\mu)}, \quad 1 \leq N \leq N_{\max}, \quad \forall \mu\ \in \ \mathcal{D}^\mu\]

where \(\Delta^s_N (\mu) = {\Delta_N^{\mathrm{en}}}(\mu)^2\) and \(\eta^s_N(\mu)\equiv \frac{\Delta^s_N(\mu)}{s(\mu)-s_N(\mu)}\)

Rapid convergence of the error in the output : Note that the error in the output vanishes quadratically

2.7. Relative output error bounds

We define

  • the relative output error bound \(\Delta^{s,rel}_N (\mu) \equiv \frac{\|\hat{e}(\mu)\|^2_X}{ \alpha_\mathrm{lb}(\mu) s_N(\mu)}= \frac{\Delta_N^{\mathrm{en}}(\mu)^2}{s_N(\mu)}\)

  • the relative output effectivity \(\eta^{s,rel}_N(\mu)\equiv \frac{\Delta^{s,rel}_N(\mu)}{s(\mu)-s_N(\mu)/s(\mu)}\)

Proposition : Relative output error bound
\[1 \ \leq\ \eta^{s,rel}_N(\mu) \ \leq 2 \frac{{\gamma_{{\mathrm{UB}}}}(\mu)}{{\alpha_{{\mathrm{LB}}}}(\mu)}, \quad 1 \leq N \leq N_{\max}, \quad \forall \mu\ \in \ \mathcal{D}^\mu\]

for \(\Delta^{s,rel}_N \leq 1\)

2.8. \(X\)-norm error bounds

We define

  • the relative output error bound \(\Delta_N (\mu) \equiv \frac{\|\hat{e}(\mu)\|_X}{\alpha_\mathrm{lb}(\mu)}\)

  • the relative output effectivity \(\eta_N(\mu)\equiv \frac{\Delta_N(\mu)}{\|e(\mu)\|_X}\)

Proposition : Relative output error bound
\[1 \ \leq\ \eta_N(\mu) \ \leq \frac{{\gamma_{{\mathrm{UB}}}}(\mu)}{{\alpha_{{\mathrm{LB}}}}(\mu)}, \quad 1 \leq N \leq N_{\max}, \quad \forall \mu\ \in \ \mathcal{D}^\mu\]

2.9. Remarks on error bounds

  • The error bounds are rigorous upper bounds for the reduced basis error for any \(N = 1,\ldots,N_{max}\) and for all \(\mu \in \mathcal{D}\).

  • The upper bounds for the effectivities are

    • independent of \(N\) , and

    • independent of \(\mathcal{N}\) if \(\alpha_{\mathrm{lb}}(\mu)\) only depends on \(\mu\), and are thus stable with respect to RB and FEM refinement.

  • Results for energy norm (and \(X\)-norm) bound directly extend to noncompliant (& nonsymmetric) problems

    • if we choose an appropriate definition for the energy (and \(X\)) norm

3. Offline-Online decomposition

Denote \(\hat{e}(\mu)\in X\) \(||\hat{e}(\mu)||_X = \varepsilon_N(\mu) = ||r(u_N(\mu),\cdot;\mu)||_X\) such that \((\hat{e}(\mu),v)_X = -r(u_N(\mu),v;\mu), \quad \forall v \in X\).

And recall that \(-r(u_N(\mu),v;\mu) = f(v) - \displaystyle\sum_{q=1}^Q \sum_{n=1}^N\ \Theta^q(\mu)\ {u_N}_n(\mu)\ a^q( \zeta_n,v), \quad \forall v\ \in\ X\)

  • It follows next that \(\hat{e}(\mu)\in X\) satisfies

\[(\hat{e}(\mu),v)_X = f(v) - \displaystyle\sum_{q=1}^Q \sum_{n=1}^N\ \Theta^q(\mu)\ {u_N}_n(\mu)\ a^q( \zeta_n,v), \quad \forall v\ \in\ X\]
  • Observe then that the rhs is the sum of products of parameter dependent functions and parameter independent linear functionals, thus invoking linear superposition

\[\hat{e}(\mu)\ = \ \mathcal{C} - \sum_{q=1}^Q \sum_{n=1}^N\ \Theta^q(\mu)\ {u_N}_n(\mu)\ \mathcal{L}^q_n\]


  • \(\mathcal{C} \in X\) satisfies \((\mathcal{C},v) = f(v), \forall v \in X\)

  • \(\mathcal{L} \in X\) satisfies \((\mathcal{L}^q_n,v)_X = -a^q(\zeta_n,v), \forall v \in X, \, 1 \leq n \leq N, 1 \leq q \leq Q\) which are parameter independent problems

3.1. Error bounds

From a previous equation, we get

Error bound decomposition
\[||\hat{e}(\mu)||_X^2 = (\mathcal{C},\mathcal{C})_X + \sum_{q=1}^Q \sum_{n=1}^N\ \Theta^q(\mu)\ {u_N}_n(\mu)\ \displaystyle \left( 2 ( \mathcal{C}, \mathcal{L}^q_n)_X + \sum_{q'=1}^{Q'} \sum_{n'=1}^{N'}\ \Theta^{q'}(\mu)\ {u_N}_{n'}(\mu)\ ( \mathcal{L}^{q}_{n}, \mathcal{L}^{q'}_{n'})_X \right)\]

Remark In (Error bound decomposition), \(||\hat{e}(\mu)||_X^2\) is the sum of products of

  • parameter dependant (simple/known) functions and

  • parameter independant inner-product,

the offline-online for the error bounds is now clear.

3.2. Steps and complexity

Offline :

  • Solve for \(\mathcal{C}\) and \(\mathcal{L}^q_n,\ 1 \leq n \leq N,\ 1 \leq q \leq Q\)

  • Form and save \((\mathcal{C},\mathcal{C})_X\), \(( \mathcal{C}, \mathcal{L}^q_n)_X\) and \(( \mathcal{L}^{q}_{n}, \mathcal{L}^{q'}_{n'})_X\), \(1 \leq n,n' \leq N,\ 1 \leq q, q' \leq Q\)

Online :

  • Given a new \(\mu \in \mathcal{D}^\mu\)

  • Evaluate the sum \(||\hat{e}(\mu)||_X^2\) (Error bound decomposition) in terms of \(\Theta^q(\mu)\) and \({u_N}_n(\mu)\)

  • Complexity in \(O(Q^2 N^2)\) independent of \(\mathcal{N}\)

4. Sampling strategy: a Greedy algorithm

4.1. Offline-Online Scenarii

Offline : Given a tolerance \(\tau\), build \(S_N\) and \(W_N\) such that \(\forall \ \mu\ \in \mathcal{P} \equiv \mathcal{D}^{\mu} \ , \ \Delta_N(\mu) < \tau\)

Online : Given \(\mu\) and a tolerance \(\tau\), find \(N^*\) and thus \(s_{N^*}(\mu)\) such that \(N^* = \operatorname{arg\ max}_N\ \left( \Delta_{N}(\mu) < \tau \right)\), or given \(\mu\) and a max execution time \(T\), find \(N^*\) and thus \(s_{N^*}(\mu)\) s.uch that \(N^* = \operatorname{arg\ min}_N\ \left( \Delta_{N}(\mu) \mbox{ and execution time } < T \right)\)

4.2. \(S_N\) and \(W_N\) Generation Strategies

Offline Generation

Offline Generation
  • Input : a tolerance \(\epsilon\), set \(N = 0\) and \(S_0 = \emptyset\)

  • While \(\Delta_N^{\mathrm{max}}> \epsilon\)

    • \(N = N+1\)

    • If N == 1; then Pick ((log-)randomly) \(\mu_1 \in \mathcal{D}^\mu\)

    • Build \(S_N:= \{ \mu_N \} \cup S_{N-1}\)

    • Build \(W_N:= \{ \xi = u(\mu_N) \} \cup W_{N-1}\)

    • Compute \(\Delta_N^{\mathrm{max}}:= \mathrm{max}_{\mu \in \mathcal{D}^\mu}\, \Delta_N(\mu)\)

    • \(\mu^{N+1} := \operatorname{arg\ max}_{\mu\in\mathcal{D}^\mu} \Delta_N(\mu)\)

  • End While

Condition number : recall that the \(\zeta_n\) are orthonormalizes, this ensures that the condition number will stay bounded by \(\gamma(\mu)/\alpha(\mu)\).

4.3. Online Algorithm I

\(\mu\) adaptive online
  • Input : \(\mu \in \mathcal{D}^\mu\)

  • Compute \((s_{N^{*}}(\mu), \Delta_{N^{*}}(\mu))\) such that \(\Delta_{N^{*}}(\mu) < \tau.\)

  • \(N = 2\)

  • While \(\Delta_N(\mu) > \tau\)

    • Compute \((s_N(\mu), \Delta_N(\mu))\) using \((S_N,W_N)\)

    • \(N = N * 2\) use the (very) fast convergence properties of RB

  • End While

4.4. Online Algorithm II

  • While \(i \leqslant \mathrm{Imax} \gg 1\)

    • Pick log-randomly \(\mu \in \mathcal{D}^\mu\)

    • Store in table \(\mathcal{T}, \Delta_N(\mu)\) if worst case for \(N=1,..., {N^{\mathrm{max}}}\)

    • \(i = i + 1\)

  • End While

Online Algorithm II – \(\mu\) adaptive online – worst case
  • Given \(\mu \in \mathcal{D}^\mu\), compute \((s_{N^{*}}(\mu), \Delta_{N^{*}}(\mu))\) such that \(\Delta_{N^{*}}(\mu) < \tau.\)

  • \(N^{*} := \mathrm{arg} \mathrm{max}_{\mathcal{T}}\, {\Delta_N(\mu) \, < \, \tau}\)

  • Use \(W_{N^{*}}\) to compute \((s_{N^{*}}(\mu),\Delta_{N^{*}}(\mu))\)