Stoch Environ Res Risk Assess (2010) 24:971–984
DOI 10.1007/s00477-010-0400-5
ORIGINAL PAPER
A comparative study of numerical approaches to risk assessment
of contaminant transport
Dongxiao Zhang • Liangsheng Shi • Haibin Chang
Jinzhong Yang
Published online: 27 April 2010
Ó Springer-Verlag 2010
Abstract In risk analysis, a complete characterization of
the concentration distribution is necessary to determine the
probability of exceeding a threshold value. The most popular
method for predicting concentration distribution is Monte
Carlo simulation, which samples the cumulative distribution
function with a large number of repeated operations. In this
paper, we first review three most commonly used Monte
Carlo (MC) techniques: the standard Monte Carlo, Latin
Hypercube sampling, and Quasi Monte Carlo. The perfor-
mance of these three MC approaches is investigated. We then
apply stochastic collocation method (SCM) to risk assess-
ment. Unlike the MC simulations, the SCM does not require a
large number of simulations of flow and solute equations. In
particular, the sparse grid collocation method and probabi-
listic collocation method are employed to represent the con-
centration in terms of polynomials and unknown coefficients.
The sparse grid collocation method takes advantage of
Lagrange interpolation polynomials while the probabilistic
collocation method relies on polynomials chaos expansions.
In both methods, the stochastic equations are reduced to a
system of decoupled equations, which can be solved with
existing solvers and whose results are used to obtain the
expansion coefficients. Then the cumulative distribution
D. Zhang (&)  H. Chang
Department of Energy and Resources Engineering, College
of Engineering, Peking University, 100871 Beijing, China
e-mail: dxz@pku.edu.cn
D. Zhang  L. Shi  H. Chang
The Sonny Astani Department of Civil and Environmental
Engineering, University of Southern California, Los Angeles,
CA 90089, USA
L. Shi  J. Yang
National Key Laboratory of Water Resources and Hydropower
Engineering Science, Wuhan University, 430072 Wuhan, China
•
function is obtained by sampling the approximate polyno-
mials. Our synthetic examples show that among the MC
methods, the Quasi Monte Carlo gives the smallest variance
for the predicted threshold probability due to its superior
convergence property and that the stochastic collocation
method is an accurate and efficient alternative to MC
simulations.
Keywords Threshold probability  Monte Carlo
simulation  Stochastic collocation  Interpolation
1 Introduction
The risk of groundwater contamination has gained extensive
attention in the design of underground tanks or landfills.
Uncertainties from geological properties, hydrologic
parameters, initial plume location, and leakage flux lead to
the risk of the concentration being overestimated or under-
estimated. Moreover, the potential risk associated with
contaminant transport is of great importance in the design of
an efficient monitoring network (Meyer et al. 1994; Storck
et al. 1997; Yenigul et al. 2005; Bierkens 2006). A typical
risk analysis addresses the following questions: ‘‘What can
happen? How likely is it to happen? Given it occurs, what are
the consequences?’’ (Bedford and Cooke 2003). In a
groundwater system, the risk assessment consists of two
main components: The likelihood of the system failure
(groundwater contamination) and the (health or economic)
consequences of contamination. Especially, when the human
health consequence is considered, the behavioral and phys-
iological uncertainty should also be incorporated (Maxwell
and Kastenberg 1999). In this study, the focus is on
the probability of exceeding a certain threshold value,
also called the threshold probability, due to geological
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uncertainty in the subsurface environment. The threshold
probability at a given location X and time t is defined as P(X,
t) = P{C(X, t) C Cth}, where Cth is a threshold value. It is
straightforward to read P(X, t) from the Cumulative Distri-
bution Function (CDF). Because of the difficulty in obtaining
analytical CDF in practical situations, the theoretical CDF is
usually approximated by sample CFD. The sample CFD
converges to the theoretical CDF as the sampling size grows
to infinity. This sampling method is called Monte Carlo
simulation. In reality, Monte Carlo simulation is the most
popular method for coping with uncertainties in risk
assessment (Vose 1996; Hamed and Bedient 1999; Kentel
and Aral 2005). For example, the GMS Software (Environ-
mental Modeling Research Laboratory 2005) makes use of
standard Monte Carlo and Latin Hypercube approaches,
whereas all the random sources in GMS are considered as
random variables. In the framework of standard Monte
Carlo, for each simulation, a random number is generated for
each parameter according to the specified distribution using
the mean, standard deviation, maximum and minimum. As an
alternative, Latin Hypercube approach divides the probability
distribution curve into several sub-intervals of equal proba-
bility. The random numbers are selected within each
sub-interval. Unlike the work of GMS, most Monte Carlo
simulations introduce the concept of random field to charac-
terize the spatial heterogeneity of some properties (e.g.,
hydraulic conductivity) (Meyer et al. 1994; Yenigul et al.
2005).
Although there are several other numerical methods
available to estimate the uncertainty (and the accompanying
threshold probability) in contaminant transport, most exist-
ing works focus on first two moments, i.e., mean concen-
tration and local variance (Zhang and Neuman 1996; Dagan
and Fiori 1997; Fiori et al. 2002; Caroni and Fiorotto 2005).
However, due to the complexity of the subsurface flow and
solute transfer, Goovaerts (1997) addressed the necessity of
using local probability distribution function. Under certain
restriction, it is possible to derive the analytical concentra-
tion CDFs. Dagan (1982) found that in the absence of pore-
scale dispersion, the point concentration at a given location
has a binary CDF at early times. And Bellin et al. (1994)
showed in a small sampling volume the point concentration
CDF honors bimodal distribution, whereas it approaches the
normal distribution as the sampling volume grows. Some
other work (Fiori 2001; Fiorotto and Caroni 2002; Caroni
and Fiorotto 2005) illustrated the applicability of Beta dis-
tribution in representing the variability of local concentra-
tion. Bellin and Tonina (2007) further gave a physical
interpretation for the choice of Beta distribution. They val-
idated their arguments with the Cape Cod tracer test data
(Leblanc et al. 1991). However, all these conclusions were
obtained by only introducing the spatial variability of
hydraulic conductivity. Is Beta distribution still a good
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Stoch Environ Res Risk Assess (2010) 24:971–984
model for characterizing the local uncertainty subject to
multiple random sources? Is it possible to describe the
probability of exceeding a given threshold with single dis-
tribution irrespective of the observation location and time?
These questions have not been addressed.
Recently, stochastic collocation technique is becoming
increasingly popular in the computational community (Tatang
et al. 1997; Xiu and Hesthaven 2005; Ganapathysubramanian
and Zabaras 2006; Babuska et al. 2007; Foo et al. 2007).
Stochastic collocation method is essentially an ensemble
based approach with the excellent compatibility to compli-
cated conditions. Unlike the moment equation method (Zhang
2002), stochastic spectral finite element method (Ghanem and
Spanos 1991), and KLME approach (Zhang and Lu 2004; Shi
et al. 2008), stochastic collocation method leads naturally to a
decoupled system without any modification to the original
partial differential equation. In this work, we apply the sto-
chastic collocation method to describing the threshold prob-
ability. Because the concentration CDF is the key ingredient
for risk assessment, we will examine the performance of our
model for sampling CDF rather than the mean and variance.
Since stochastic collocation technique performs the sampling
in its postprocessing, it is not necessary to assign a distribution
a priori to the contaminant plume.
Despite the attractiveness in the concept of random field,
in this work only the random variables are considered. It is
the special case of random field with infinite correlation
length. This work can be extended to the cases of random
fields with the aid of Karhunen–Loeve expansions or other
techniques (e.g., Li and Zhang 2007; Chang and Zhang
2009). We explore the ability of stochastic collocation
method for handling multiple random sources. A detailed
comparison between different Monte Carlo methods and
stochastic collocation method is presented.
The remainder of the paper is organized as follows: In
Sect. 2, we give a review on Monte Carlo methods,
including standard Monte Carlo simulation, Latin Hyper-
cube Monte Carlo, and Quasi Monte Carlo. In Sect. 3, we
cope with threshold probability based on the stochastic
collocation method. The performance of the proposed
method is examined by numerical Monte Carlo experi-
ments. Concluding remarks are presented in Sect. 5.
2 Monte Carlo simulations
For completeness, we present a brief review on three well-
studied Monte Carlo methods—namely, standard Monte
Carlo, Latin Hypercube sampling, and Quasi Monte Carlo.
The convergence properties of these three methods are also
reviewed to determine their applicability. Here we consider an
N-dimensional stochastic problem (with N independent ran-
dom variables). The first step of all Monte Carlo simulations is
Stoch Environ Res Risk Assess (2010) 24:971–984
 
to construct sampling points n1 ; . . .; nM , where M is the
sample size (the total number of realizations),
 and
 each vector
ni has N independent components ni1 ; . . .; niN . For the con-
sistency with most existing literature, we focus on the sam-
pling of random variables that are uniformly distributed on
[0, 1]N. Random numbers for other distributions can be con-
structed by probability distribution transformation. Transfor-
mation rules for several distributions commonly used in
engineering can be found in Johnson (1994).
2.1 Standard Monte Carlo (SMC) simulation
The basic idea of standard Monte Carlo simulation is to
randomly draw samples from the uniform distribution on
[0, 1]N. The sampling process is trivial, and its convergence
is proven at the rate of M-1/2 (regardless of dimension N).
In many cases, the sample size M becomes prohibitively
large to obtain a reasonably small error. This motivates the
exploration of improved techniques that can yield the same
error with less computational effort. Several other tech-
niques have been developed in this literature, notably
importance sampling (e.g., Lu and Zhang 2003), Latin
Hypercube sampling (McKay et al. 1979), Quasi Monte
Carlo (Niederreiter 1992; William and Russel 1994). Note
that these techniques are devised to generate N-dimen-
sional random vectors that are uniformly distributed on
[0, 1]N and have independent components.
2.2 Latin Hypercube sampling (LHS)
Latin Hypercube sampling (LHS) is one of the stratified
sampling methods. It actually belongs to variance reduction
techniques for reducing the variance in the estimated
solution (Homem-de-Mello 2008). The basic idea of LHS
is to partition the sample space into subspaces with equal
probability and generate the samples in each subspace. The
LHS is performed as follows: suppose we want to draw M
samples from vector n with N independent components
n1 ; . . .; nN , each of which has a uniform distribution, U[0,
1]. There are two steps for each dimension i ¼ 1; . . .; N:
1. Divide the region to M sub-regions, and generate
   
1 1 2 2 3
s  U 0; ; s U ; ; . . .;
M  M M
M1
sM  U ;1
M
2. nij ¼ sPðjÞ ði ¼ 1; . . .; N; j ¼ 1; . . .; M Þ, where P is a
random permutation of 1; . . .; M.
Although LHS does reduce the variance of estimated
solution (mean), it cannot improve the convergence rate. It
also converges at the rate of M-1/2, the same as standard
Monte Carlo simulation.
973
2.3 Quasi Monte Carlo (QMC)
QMC is based on low-discrepancy sequence (LDS)
(Morokoff and Caffisch 1994; Morokoff and Caffisch 1995).
Low discrepancy sequences include Halton sequence, Faure
sequence, Sobol sequence, and Niederreiter sequence, all of
which are based on the Van der Corput sequence. The Van
der Corput sequence uses a prime number b as its base, and
expresses any natural number k with the following formula
k ¼ di b j þ di1 bj1 þ    þ d1 b1 þ d0 ð1Þ
where di 2 f0; 1; . . .; b  1g for i ¼ 0; 1; . . .; j. Obviously,
if b = 2, di di1 di2    d0 compose of the binary numbers
of k. Then we have
d0 d1 dj
/b ðkÞ ¼ 0 þ 1 þ    þ j ð2Þ
b b b
In this way, a different seed k derives a different /b(k), then
these values of /b(k) can form a Van der Corput sequence
(see Table 1, where b = 2). In this work, we introduce the
Sobol sequence (Zsolt and Andras 2004) that reorders the
Van der Corput sequence in each dimension, and we make
sure that each column is independent to another. The
numerical implementation of QMC is quite similar to LHS,
except in step 1 QMC generates the random numbers by
(2). We refer the reader to Homem-de-Mello (2008) for a
thorough discussion of the convergence property of QMC.
3 Stochastic collocation methods
Although Monte Carlo simulation is straightforward to
apply as it only requires repetitive execution of determin-
istic solvers at each sampling point, the statistics typically
converge at relatively slow rates. A class of stochastic
collocation methods have been proposed (Xiu and Hest-
haven 2005; Xiu 2007; Babuska et al. 2007; Nobile et al.
2008). By using existing theory on multivariate polynomial
interpolations, the stochastic collocation methods generally
obtain fast convergence rates. Moreover, the numerical
implementations of stochastic collocation methods are also
straightforward as the existing codes for deterministic
problems can be employed at each interpolation point. The
stochastic collocation methods are classified by different
ways of generating collocation (interpolation) points. There
are four routine methods available to generate the collo-
cation (interpolation) points, including full tensor product
method (Tatang et al. 1997; Babuska et al. 2007), sparse
Table 1 Generation of the Van der Corput sequence (b = 2)
k 1 2 3 4 5 6 7
dj dj1 dj2    d0 1 10 11 100 101 110 111
ub(k) 0.5 0.25 0.75 0.125 0.625 0.375 0.875
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974 Stoch Environ Res Risk Assess (2010) 24:971–984

grid collocation method (Smolyak 1963; Nobile et al. 2008; X

m  
Pum ðnÞ ¼ u nk Lk ðnÞ ð7Þ
Chang and Zhang 2009), Stroud method (Xiu 2007; Ding
k¼1
et al. 2008), and probabilistic collocation method (Huang      
et al. 2007; Li and Zhang 2007; Shi et al. 2009). Because of where Li n j ¼ dij , Pu nk ¼ u nk . Once the interpola-
its exponential growth of the number of collocation points, tion polynomials have been constructed using the
full tensor product method is limited to the cases of low interpolation points H, the value
  of property u at any
random dimensionality. In this work, we mainly focus on point n is approximated by Pu nk . Based on the univariate
the sparse grid collocation method, probabilistic colloca- interpolation, the simplest multivariate interpolation, full
tion method and their applications in the determination of tensor product interpolation, is given as
threshold probability.
PuðnÞ ¼ Pui1      PuiN
Xm1 X
mN
   
3.1 Sparse grid collocation method (SGCM) ¼ ... u nji11 ; . . .; njiNN  Lji11      LjiNN ð8Þ
j1 ¼1 jN ¼1
For the sake of clarity, let us denote the variable of interest
as u in a physical domain D and time domain T. We also where m1 ; . . .; mN are the numbers of interpolation points
define the probability space in which the variations of the in every individual dimension. Clearly, formula (8)
random inputs exhibit. Let (X, F, q) be a probability space, needs m1      mN points. This number grows quickly
where X is the space of basic outcomes, F is the minimal as the dimension N is increasing. To suppress the rapid
r-algebra of the subsets of X, and q is the probability increase, the sparse grid collocation method employs
measure. The notation x will be used as the basic outcomes Smolyak algorithm by minimizing number of interpola-
in the space X, i.e. x [ X. We assume u a function of N tionpoints in multi-dimensional space (Wasilkowski and
independent random variables fni gNi¼1 , and set n ¼ fn1 ; . . .; Wozniakowski 1995),
nN g. Function u also reads as !
X Nþkjij
N1
u ¼ uðx; t; xÞ ¼ uðx; t; nðxÞÞ ð3Þ Puk;N ðnÞ ¼ ð1Þ 
kþ1  jij  Nþk N þ k  jij
where x [ D, t [ T. For a stochastic partial differential  i 
 Pu 1      Pu N i
ð9Þ
equation about u
pðu; x; t; nÞ ¼ f ðx; tÞ ð4Þ where k is called interpolation level, and N is dimension.
We choose m1 = 1 and mi ¼ 2i1 þ 1 for i [ 1 as
where p is an operator involving differentiation; f(x) is
recommended in Xiu and Hesthaven (2005). Equation 9
source/sink term. Without loss of generality, f(x) is taken to is called sparse grid collocation method because
be deterministic here.
interpolation is implemented at the sparse grid,
We seek the approximation u^ 2 V in a weak form
Z Z hðk; NÞ ¼ [ ðhi1      hiN Þ ð10Þ
qðhÞpð^u; x; t; hÞvðhÞdh ¼ qðhÞf ðx; tÞvðhÞdh; kþ1  jij  Nþk
ð5Þ
8vðhÞ 2 W According to the type of interpolation rules, collocation
points could be constructed in Clenshaw-Curtis or Gaussian
where V is called the trial function space, W is denoted as abscissas (Nobile et al. 2008). Collocation points from
test function space; q(h) is the probability density function Clenshaw-Curtis abscissas are basically nested (thus,
of ni(x). The stochastic collocation method represents the hðk; N Þ  hðk þ 1; N Þ), while the collocation points
unknowns by certain   interpolation
M polynomials. After generated from Gaussian abscissas are non-nested. The
defining W ¼ span d n  ni i¼1 , Eq. 5 is reduced to a selection of abscissas depends on the requirement to
set of deterministic equations accuracy of the interpolation. In this work, all the random
variables are assumed to be log-normal, and the collocation
pðu; x; t; ni Þ ¼ f ðx; tÞ i ¼ 1; . . .; M ð6Þ
points are constructed in Gaussian abscissas. It is noted that
i
where n ði ¼ 1; . . .; M Þ is a given set of interpolation in many other works (such as Xiu and Hesthaven 2005;
points. Without any confusion, (x, t) will be omitted due to Ganapathysubramanian and Zabaras 2006; Nobile et al.
the invariable interpolation operation at different time 2008; Chang and Zhang 2009), the input is assumed to be a
levels and spatial locations. random field and Eq. 9 inherits the random variables from
In one-dimensional case (only involving one random the Karhunen–Loeve expansion of the random input. In this
 n)
variable
M
with a given set of interpolation points study, each random variable is related to its corresponding
H ¼ ni i¼1 , the Lagrange interpolating polynomials random input, so the Lagrange polynomial expansion
PuðnÞ are expressed as follows: includes the uncertainties resulted from various inputs.

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Stoch Environ Res Risk Assess (2010) 24:971–984 975

After determining the coefficients in Eq. 9, it is quite where u(.)s are coefficients; gki ðk ¼ 1; . . .; 3; i ¼ 1; . . .; NÞ
easy to sample the possible realizations of u. By expanding are roots of H3 ðgi Þ ¼ g3i  3gi ; 1ki ðk ¼ 1; . . .; 5; i ¼
Eq. 9, the level-2 (k = 2) sampling equation is given as, 1; . . .; NÞ are roots of H5 ð1i Þ ¼ 15i  1013i þ 151i ; rki ðk ¼
u~k¼2;N ðnÞ ¼ u~k¼2;N ðn1 ; . . .; nN Þ 1; . . .; 9; i ¼ 1; . . .; NÞ are roots of H9 ðri Þ ¼ r9i  36r7i
þ378r5i  1260r3i þ 945ri .
ð N  1Þ ð N  2Þ
¼  uð0; . . .; 0Þ  ðN  1Þ By choosing nested points (i.e., hðk; N Þ  hðk þ 1; N Þ),
2 it is possible to extend the sampling equation from level k
XN X 3 Y3
ni  nli to k ? 1. The interpolation expression is rewritten by the
 k l
i¼1 k¼1 l¼1;l6¼k ni  ni following nested form,
  X 
 u 0; . . .; 0; nki ; 0; . . .; 0 
Puk;N ðnÞ ¼ Puk1;N ðnÞ þ Mi1      MiN ð13Þ
XN X 5 Y 5
ni  nni   jij¼Nþk
m
þ m n  u 0; . . .; 0; ni ; 0; . . .; 0
n  ni
i¼1 m¼1 n¼1;k6¼j i where Pu0 ¼ 0 and Mi ¼ Pui  Pui1 .
N X
X 3 X
N X
3 Y
3 Y
3 Thus, to go from the level-2 sampling to the level-3
þ sampling in N dimensions, one only has to add the terms
i¼1 k¼1 j¼1;j [ i r¼1 k¼1;k6¼j s¼1;s6¼r related to points that are unique to the level-3,
ni  nli ni  nsi  k r

X  
  u 0; . . .; 0; n ; 0; . . .; 0; n ; 0; . . .; 0
r s
nki  nli ni  ni
i j u~k¼3;N ðnÞ ¼ u~k¼2;N ðnÞ þ Mi1      MiN ð14Þ
jij¼Nþ3
ð11Þ
It is seen that the main computational cost for the stochastic
where u(.)s are coefficients for corresponding collocation
collocation method is in computing the coefficients in
points; nki ðk ¼ 1; 2; 3; i ¼ 1; . . .; N Þ are roots of H3 ðni Þ ¼
interpolation polynomials. Sampling (11–14) only requires
n3i  3ni . Similarly, the level-3 (k = 3) sampling equation
interpolation operations. Therefore, concentration realiza-
can be written as
tions can be obtained without solving stochastic partial
u~k¼3;N ðnÞ ¼ u~k¼3;N ðn1 ; . . .; nN Þ differential equations after getting the coefficients in the
ð N  1Þ ð N  2Þ ð N  3 Þ polynomials. Standard sampling, Latin Hypercube sampling
¼  uð0; . . .; 0Þ
6 and Quasi Monte Carlo technique can be used to sample the
ðN  1ÞðN  2Þ X N X 3 Y3
ni  gli polynomials. We note that, the Lagrange interpolating
þ
2 gk  gli polynomial is the polynomial of degree B(N - 1). When
i¼1 k¼1 l¼1;l6¼k i
  the high-degree polynomials are used, a strong oscillation may
 u 0; . . .; 0; gki ; 0; . . .; 0
occur between two interpolation points (although a perfect fit
X N X 5 Y 5
ni  1li   is observed at the interpolation points). The oscillation
 ðN  1Þ k  1l
 u 0; . . .; 0; 1ki ; 0; . . .; 0
i¼1 k¼1 l¼1;l6¼k i
1 i becomes strong when the interpolating point is close to the
N 1 X
X 3 X
N X
3 Y
3 Y
3 ends of probability distribution interval, resulting in a
 ðN  1Þ polynomial oscillating above and below the true function.
i¼1 k¼1 j¼1;j [ i r¼1 l¼1;l6¼k s¼1;s6¼r The divergence between interpolating function and
n  gli nj  gsj  interpolating polynomial is known as Runge’s phenomenon
 ki  u 0; . . .; 0; g k
i ; 0; . . .; 0; g r
j ; 0; . . .; 0 (Berrut and Trefethen 2004). Such a phenomenon will be
gi  gli grj  gsj
XN X 9 Y9 showed in the next section. And we emphasize that the higher-
ni  rni  
þ m n  u 0; . . .; 0; rm i ; 0; . . .; 0
order interpolation is also sensitive to coefficients, so a
i¼1 m¼1 n¼1;k6¼j i
r  ri stringent numerical precision (double precision) is necessary
X
N X
3 X
N X
5 Y
3 Y 5
ni  gli nj  1sj to alleviate the interpolation error.
þ
i¼1 k¼1 j¼1;j6¼i r¼1 l¼1;l6¼k s¼1;s6¼r i
gk  gli 1rj  1sj

 u 0; . . .; 0; gki ; 0; . . .; 0; 1rj ; 0; . . .; 0 3.2 Probabilistic collocation method

X
N 2 X
3 X
N 1 X
3 X
N X
3 Y
3 Y
3 Y
3
With the same operation as Eq. 5, probabilistic collocation
þ
i¼1 k¼1 j¼1;j [ i r¼1 p¼1;p [ j u¼1 l¼1;l6¼k s¼1;s6¼r v¼1;v6¼p
method also leads to a series of decoupled deterministic
n  gli nj  gsj np  gvp partial differential equations. Probabilistic collocation
 ki method utilizes the finite-dimensional polynomial chaos
gi  gli grj  gsj gup  gvp
 expansion in the following form (Li and Zhang 2007;
u 0; . . .; 0; gki ; 0; . . .; 0; grj ; 0; . . .; 0; gup ; 0; . . .0 ð12Þ Huang et al. 2007; Shi et al. 2009),

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976
X
N  
uðx; t; nÞ ¼ a0 ðx; tÞC0 þ ai1 ðx; tÞC1 ni1
i1 ¼1
N X
X i1
 
þ ai1 i2 ðx; tÞC2 ni1 ; ni2
i1 ¼1 i2 ¼1
N X
X i1 X
i2
 
þ ai1 i2 i3 ðx; tÞC3 ni1 ; ni2 ; ni3 þ   
i1 ¼1 i2 ¼1 i3 ¼1

n o Cp ni1 ; . . .; nip denotes
where  polynomial
 of p order,
nip are random variables, ai1 ; . . .; aip are coefficients.
For a stochastic system with Gaussian random variables,
the polynomials are Hermite polynomials in terms of multi-
dimensional Gaussian random variables (Ghanem and
Spanos 1991). The generalized polynomial chaos provides
a more efficient way to represent non-Gaussian problems
(Xiu and Karniadakis 2002). We highlight that polynomial
chaos expansion is often used to represent a random pro-
cess/field in the literature while in this work polynomial
chaos expansion is employed to n represent
o a smooth func-
tion about random variables nip . It is expected that
formula (15) can approximate any functional in L2 and
converges in the L2 sense (Cameron and Martin 1947).
Once the stochastic problem is cast in a Gaussian system
(by transforming all the variables to Gaussian), the prob-
abilistic collocation method selects points from combina-
tions of the roots of a Hermite polynomial of one order
higher than the order of orthogonal polynomial. If the
polynomial order is p, then there are at most (p ? 1)N
points available by using tensor products. The total number
of coefficients in the polynomial chaos of order p and
dimension N is M ¼ ðN þ pÞ!=ðN!p!Þ; which is usually
much smaller than (p ? 1)N. The probabilistic collocation
method selects M points by keeping as many of the vari-
ables of high probability as possible (Tatang et al. 1997).
For clarity, a three-dimensional second-order polynomial
chaos is shown here,
 
uðx; t; nÞ ¼ a0 þ a1 n1 þ a2 n2 þ a3 n3 þ a11 n21  1
 
þ a12 n1 n2 þ a22 n22  1 þ a23 n2 n3
 2 
þ a33 n3  1 ð16Þ
Then, thepcollocation
ffiffiffi pffiffiffi points are the combinations of three
roots  3; 0; 3 of C3 ðni Þ ¼ n3i  3ni . We rank these
pffiffiffi p ffiffiffi
roots in order of decreasing probability, 0;  3; 3 ,
since 0 has the highest probability for the standard
Gaussian random variable. The first collocation point, i.e.,
{0, 0, 0} is selected with the highest probability for each
random variables. The other points are then generated
similarly. For the non-normal (or non-lognormal) inputs,
Askey polynomials (Xiu and Karniadakis 2002) have to be
introduced. Thus, the collocation points are constructed by
the combinations of roots of Askey polynomials. After the
selection of collocation points and solving for the
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Stoch Environ Res Risk Assess (2010) 24:971–984
coefficients in (16) sequentially, we can accomplish the
sampling by substituting the randomly generated fni g3i¼1
into (16). We note that since the number of collocation
points depends on the number of coefficients in the poly-
nomials chaos expansion, the probabilistic collocation
method may be restricted by the ‘‘curse of dimensionality’’
ð15Þ when N is very large.
4 Numerical examples
In this study, we focus on the solute transport by consid-
ering advection and dispersion. The conservative solute
transport in 2-D groundwater flow under advection and
dispersion is given as
ocðx; tÞ  
¼ r  Dij ðx; tÞrcðx; tÞ  r  ðqðx; tÞrcðx; tÞÞ
ot
ð17Þ
where c is the solute concentration; D is the hydrodynamic
dispersion tensor; q(x, t) is the pore water velocity; x is
spatial coordinate; t is time. The components of the
dispersion tensor, Dij, are given by
qi qj
Dij ¼ aT jqðx; tÞjdij þ ðaL  aT Þ þ Dd dij ð18Þ
jqðx; tÞj
where aL is the longitudinal dispersivity, aT is the
transverse dispersivity, |q(x, t)| is the magnitude of the
pore velocity, dij is the Kronecker delta function (dij = 1 if
i = j, and dij = 0 if i = j), and Dd is the molecular
diffusion coefficient in free water. The pore velocity is
computed by q(x, t) = u(x, t)/n, where n is the porosity of
the porous media and u is Darcy velocity. The steady state
flow in saturated media can be described as
r  ½K ðxÞrhðxÞ ¼ gðxÞ ð19Þ
where K(x) is hydraulic conductivity, h(x) is hydraulic head,
and g(x) is source/sink term. In this work, in the absence of
detailed field measurements the conductivity, porosity, and
dispersivity are regarded as random variables with known
mean, variance, and probability distribution function.
4.1 One-dimensional case
In the one-dimensional case, the two boundaries are
imposed with constant heads. There is an instantaneous
source with unit concentration (1 mg/l) released over
x = 4.75–5 m and at t = 0. All the random parameters are
assumed to be log-normal. The mean trends and variances
of conductivity, porosity, and dispersivity are given a pri-
ori. Simulations are conducted in mildly (i.e., r2ln k ¼ 0:1)
heterogeneous formation with minor log-porosity variance
r2ln / ¼ 0:01 and log-dispersivity variance r2ln a ¼ 0:1. The
Stoch Environ Res Risk Assess (2010) 24:971–984
corresponding coefficients of variation for conductivity,
porosity, and dispersivity are 32, 10, and 32%, respec-
tively. A single realization of the log-conductivity (or log-
porosity, log-dispersivity) was generated by
Yi ðxÞ ¼ hY ðxÞi þ rni ð20Þ
where r is the standard deviation of Y; h i is the ensemble
average; ni is the random number corresponding to reali-
zation i. The mean conductivity is shown as Fig. 1. The
mean porosity and dispersivity are given as 0.3 and 0.3 m,
respectively. We also define a threshold concentration
Cth = 0.02 mg/l. Flow equation is solved using the finite
difference code Modflow (Harbaugh et al. 2000), and
transport equation is solved by MT3DMS (Zheng and
Wang 1999).
We first give a comparison of all the Monte Carlo
methods described before. The reference CFDs are
obtained numerically with 1000 Monte Carlo simulations
that are found to have achieved convergence. In the fol-
lowing figures, the error bars associated with the reference
solution are also plotted. Concentrations at three time
levels, t = 10 days, t = 20 days, and t = 30 days are
observed. Three different Monte Carlo methods are eval-
uated with regard to their ability to approximate the CDFs.
Their performance is particularly investigated with 100
realizations. Figure 2 presents the CFDs at x = 17.5 m
from standard Monte Carlo (SMC) simulation. Results are
obtained by 50 sets of 100 samplings. The simulated CFDs
from different 100 samplings show mild variation at all
time levels. In the following analysis, we only give the
results at t = 10 for Latin Hypercube sampling (LHS) and
Quasi Monte Carlo (QMC). Figure 3a shows the estimated
CFDs using LHS. It is found that all the CFDs from dif-
ferent sets of 100 LHS realizations change in a much
narrower range than SMC. As pointed out by Homem-de-
Mello (2008), LHS indeed reduces the estimation variance
of CFD. A small variation range is also observed in Fig. 3b
for Quasi Monte Carlo. It is seen that for all three Monte
Carlo methods studied, the QMC has smallest estimation
variance while SMC approximates the estimator with a
considerably large variance. Our further convergence
analysis shows QMC exhibits faster convergence than do
7
6 as 0.01%) concentration is concerned. We suggest using a
5 large sample size (such as 10,000) to reduce the effect of
4 negative concentrations on CFD curve although negative
<K>
3
2
1
0 Unlike the Monte Carlo simulation, these realizations are
0 5 10 15 20 25 30
x/m
Fig. 1 The mean conductivity of one-dimensional case
977
SMC and LHS. To obtain the convergent solution for this
problem, SMC, LHS and QMC require about 300, 200, 100
realizations, respectively. We also notice that concentration
CFDs at x = 17.5 approach a log-normal distribution at the
late time (Fig. 2).
Figures 4 and 5 shows the estimated threshold proba-
bility from three different Monte Carlo approaches. The
results for LHS and QMC are shown at t = 10 days. It is
seen from Fig. 4 that 50 sets of 100 samplings of standard
Monte Carlo leads to a series of threshold probability
curves fluctuate around the reference solution. It is seen
from Fig. 5 that both LHS and QMC show attractive per-
formance with 100 realizations because of the narrower
fluctuations.
We then examine stochastic collocation methods for
estimating the threshold probability. After solving the
coefficients in formula (11) and (12), the interpolating
operations are executed with random numbers. For clarity,
we take the level-2 SGCM as illustration. The coefficients
and corresponding collocation points are listed in Table 2.
Fifty realizations with the level-2 and level-3 interpolation
are shown in Figs. 6 and 7, respectively. Most curves in
Figs. 6 and 7 have nearly identical shapes, while the level-
3 formula improves the interpolation accuracy for some
points. Illustrated by the point of (n1, n2, n3) = (-2.29,
0.63, -0.31), its corresponding realizations (highlighted by
the thick black lines in Figs. 6, 7) from the level-3 inter-
polation is more reasonable than the level-2 interpolation.
However, even the level-3 interpolation may generate
unphysical (negative) concentration values (see Fig. 7). It
is expected that a higher-level interpolation will further
reduce the number of negative concentrations. As we
mentioned before, some abnormal realizations may be
generated by Runge’s phenomenon. For example, realiza-
tion 29 (highlighted by the thick red lines in Figs. 6, 7) is
constructed by random number (n1, n2, n3) = (1.26, 3.28,
-1.82). Each of them is located at a tail region of N(0, 1).
We also note that these strongly abnormal realizations
appear at a very low probability. Figure 8 shows 2000
concentration realizations at x = 27.25 m. Only two
strongly abnormal values are generated in these 2000
realizations. The negative concentrations from insufficient
interpolation level and Runge’s phenomenon may result in
negative concentration in CFD when low-probability (such
concentrations generated from interpolation can not be
avoided.
obtained from ordinary interpolation. The statistical prop-
erties of obtained realizations can be examined by comparing
their sample moments with theoretical moments provided by
123
978 Stoch Environ Res Risk Assess (2010) 24:971–984

Fig. 2 Cumulative frequency

distribution of concentration at
x = 17.5 at t = 10 days (a),
t = 20 days (b), and t = 30
days (c) from 50 sets of standard
Monte Carlo (SMC) simulation
with 100 realizations. The black
lines denote the reference CFD
from 1000 realizations; the
others are results from 100
realizations

Fig. 3 Cumulative frequency

distribution of concentration at
x = 17.5 at t = 10 days from 50
sets of Latin Hypercube
sampling (LHS) (a) and from
Quasi Monte Carlo (QMC) (b)
with 100 realizations

Xiu and Hesthaven (2005). The estimated CFDs at x = 17.5
at t = 10 days from SGCM and PCM are shown in Fig. 9.
Except for the second-order PCM (Fig. 9b), the other three
match the reference CFD very well. The simulated threshold
probability from the stochastic collocation methods are
given in Fig. 10. It seems that the level-2 SGCM (31 runs) is
sufficient to get reasonable results while the level-3 SGCM
(111 runs) improves the accuracy further. The second-order
(p = 2, 10 runs) PCM (Fig. 10b) does not match the refer-
ence solution well while the fourth-order (p = 4, 35 runs)
PCM significantly enhances the agreement. By comparing to
results from 100 runs of Monte Carlo simulation (Figs. 4a,
5), it is seen that the level-3 SGCM (Fig. 10a) yields more
stable results although at a similar computational cost. The
same conclusion is obtained when comparing the level-2
SGCM with 31 Monte Carlo runs (no figure presented).
The number of collocation points as functions of random
dimensionality N for the second-order PCM, fourth-order
PCM, level-2 SGCM and level-3 SGCM are given in
Table 3. The total number of collocation points for prob-
abilistic collocation method is M = (p ? N)!/(N!p!). The
number of collocation points for sparse grid collocation
method depends on the type of the points (Gaussian
abscissas in this study). It is seen that PCM has a relatively
slow increase in the number of collocation points with
dimensionality N while that of level-3 SGCM increases
fast.
By comparing all the stochastic collocation methods
with respect to their accuracy and computational cost, it is
seen that the fourth-order PCM is preferred over the level-2
and level-3 SGCM. Under small input variances, it is
expected that the fourth-order PCM provides decent results
with a lower computational cost than the level-3 SGCM,
while giving a better accuracy than the level-2 SGCM. This
advantage of the fourth-order PCM is significant for high-
dimensional problems (large N). In the two-dimensional
case to be discussed next, we will examine this point under
mild input variances.

123
Stoch Environ Res Risk Assess (2010) 24:971–984 979

Fig. 4 The threshold

probability of groundwater
contamination at t = 10 days
(a), t = 20 days (b), and t = 30
days (c) from 50 sets of standard
Monte Carlo (SMC) simulation
with 100 realizations. The black
lines denote the reference
probability from 1000
realizations; the others are
results from 100 realizations

Fig. 5 The threshold

probability of groundwater
contamination at t = 10 days
from 50 sets of standard Latin
Hypercube sampling (LHS) (a)
and from Quasi Monte Carlo
(QMC) (b) with 100 realizations

4.2 Two-dimensional case
In the two-dimensional case, parts of the left and right sides
are assigned as constant heads (see Fig. 11, constant head
parts are delineated with red lines), while the remaining
boundaries are impervious. There is an instantaneous
source with unit concentration (1 mg/l) released over two
cells (x = 7.25–7.5 m and y = 5–5.5 m) at t = 0. The
domain of study is a confined aquifer with three facies, and
the interfaces between different facies are known. We
ignore the spatial heterogeneity in each facies but charac-
terize the conductivity of each facies by one random var-
iable. Three different values of mean hydraulic
conductivity and of variance for three different lithofacies
are specified. The mean log-conductivities for facies I,
facies II, facies III are 2.3, 3.9, and 1.6, respectively. The
variances are 0.3, 0.5 and 1, respectively. There is a
pumping well located in region III with a pumping rate of
5 m3/d. With the assumption that the values of conductivity
in three facies, the porosity and longitudinal dispersivity
are independent with each other, we introduce five random
variables in this example. We also treat the longitudinal
and transverse dispersivity as fully correlated parameter,
and have aT = 0.1aL. The threshold concentration is
2 9 10-4 mg/l.
This problem is solved by SMC, LHS, QMC, SGCM,
and PCM. Here we shall not present the detailed compar-
isons among the three Monte Carlo approaches. It is found
that the necessary realizations to obtain the convergent
threshold probability for SMC, LHS and QMC are about
1000, 700, and 500, respectively. The reference probability
distributions at t = 1 day, t = 5 days and t = 10 days
(shown in Fig. 12) are computed by 1000 Quasi Monte
Carlo simulations. The threshold probability distributions
at t = 1 day, t = 5 days and t = 10 days from the level-2
SGCM (71 representations), level-3 SGCM (351 repre-
sentations), and fourth-order PCM (126 representations)
are given in Figs. 13, 14 and 15, respectively. All of these

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980 Stoch Environ Res Risk Assess (2010) 24:971–984

Table 2 Solved coefficients and corresponding collocation points 0.08

u(n1, n2, n3) n1 n2 n3

Concentration(mg/l)
0.06
0.040315 0 0 0
0.04
0.017468 1.7321 0 0
0.03401 0 1.7321 0 0.02
0.031309 0 0 1.7321
0.010477 -1.7321 0 0 0
0.039177 0 -1.7321 0
-0.0 2
0.051097 0 0 -1.7321 0 5 10 15 20 25 30
0.003042 2.857 0 0 x(m)
0.027288 0 2.857 0
Fig. 7 50 realizations from interpolating formula (12)
0.026664 0 0 2.857
0.001338 -2.857 0 0
0.04
0.034631 0 -2.857 0
0.03
0.05852 0 0 -2.857
0.02

c(mg/l)
0.025138 1.3556 0 0
0.01
0.035894 0 1.3556 0
0.033082 0 0 1.3556 0

0.017039 -1.3556 0 0 -0.01

0.040082 0 -1.3556 0 -0.02

0 500 1000 1500 2000
0.048647 0 0 -1.3556 Realization Number
0.020037 -1.7321 -1.7321 0
0.004057 -1.7321 0 -1.7321 Fig. 8 2000 realizations from interpolating formula (12) at
x = 27.25 m
0.051939 0 -1.7321 -1.7321
0.028203 1.7321 1.7321 0
0.017247 1.7321 0 1.7321
and t = 5 days (Fig. 13b), and the fourth-order PCM
0.029477 0 1.7321 1.7321
overestimates the probability at t = 10 days (Fig. 15c).
0.008794 1.7321 -1.7321 0
The level-3 SGCM (Fig. 14) gives the probability distri-
0.014544 1.7321 0 -1.7321
bution closest to the reference solution, but its computa-
0.035402 0 1.7321 -1.7321
tional cost is also the highest.
0.004464 -1.7321 1.7321 0
0.016284 -1.7321 0 1.7321
0.029726 0 -1.7321 1.7321
5 Discussions and conclusions

0.08 Various uncertainties usually distort the true distribution of

solute plume and complicate the risk assessment of
0.06 underground contaminant transport. In this work, we
Concentration(mg/l)

focused on the numerical methods for quantification of

0.04
threshold probability. This work has had two main objec-
tives. First, three commonly used Monte Carlo methods
0.02
were compared in detail. Then, the stochastic collocation
0 technique was applied to approximate the threshold prob-
ability. The critical component of the proposed method is
-0.0 2 the polynomial expansions of solute concentration. The
0 5 10 15 20 25 30
x(m)
possible realizations of concentration are constructed by
polynomial interpolation. The probability distribution
Fig. 6 50 realizations from interpolating formula (11) function is obtained by analyzing the constructed realiza-
tions. The sparse grid collocation method and probabilistic
schemes yield results resembling the reference distribu- collocation method are applied to the estimation of
tions to some extent. However, the level-2 SGCM fails to threshold probability. The numerical analyses lead to fol-
reproduce the high probability area at t = 1 day (Fig. 13a) lowing conclusions:

123
Stoch Environ Res Risk Assess (2010) 24:971–984 981

Fig. 9 Cumulative frequency

distribution of concentration at
x = 17.5 at t = 10 days from
sparse grid collocation method
(SGCM) (a) and probabilistic
collocation method (PCM) (b)

Fig. 10 The estimated

threshold probability at t = 10
days from sparse grid
collocation method (SGCM) (a)
and probabilistic collocation
method (PCM) (b)

Table 3 The number of collocation points for various N

simulation (SMC). In particular, QMC has the best
N SGCM SGCM PCM PCM convergence property with the smallest estimation
(k = 2) (k = 3) (p = 2) (p = 4) variance. However, we only tested these three Monte
1 7 15 3 5 Carlo methods under low random dimensionality N.
2 17 49 6 15 Since the performance of QMC worsens with the
3 31 111 10 35 number of N, it is unclear how QMC works under large
4 49 209 15 70
N (for example, N = 30).
5 71 351 21 126
2. The sampling method based on stochastic collocation
6 97 545 28 210
method is an alternative in determining the probability
distribution function and the threshold probability.
7 127 799 36 330
Stochastic collocation method is non-intrusive in that
8 161 1121 45 495
deterministic solvers, such as Modflow and MT3D, can
9 199 1519 55 715
be used directly. Our results show that by solving a
10 241 2001 66 1001
smaller number of deterministic equations, the sto-
chastic collocation method is more efficient than SMC
Non-flow and LHS for obtaining the threshold probability.
3. Higher level (order) SGCM (PCM) approximates the
h=12m

Non-flow

<Y1>=1.6 III threshold probability more accurately. However, the

Initial source
computational cost increases quickly with dimension-
ality N, as shown in Table 3.
<Y3>=3.9 II
4. Despite the great advantages of sparse grid collocation
Non-flow

h=4.11.5 m

method due to its fast convergence properties, insuf-

<Y1>=2.3 I ficient interpolation level and Runge’s phenomenon
Pumping well
may lead to unphysical concentration realizations
Non-flow during the interpolation. It is expected that higher-
level stochastic collocation method will reduce the
Fig. 11 Sketch of two-dimensional case
occurrence of negative concentrations. It is not neces-
1. Our numerical examples show that Latin Hypercube sary to abandon the strongly abnormal concentrations
sampling (LHS) and Quasi Monte Carlo (QMC) generated from Runge’s phenomenon since it happens
perform better than does the standard Monte Carlo at a very low probability.

123
982 Stoch Environ Res Risk Assess (2010) 24:971–984

Fig. 12 The threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from Quasi Monte Carlo (QMC) with 1000 realizations

Fig. 13 The estimated threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from Level 2 (k = 2) SGCM (71
representations)

Fig. 14 The estimated threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from Level 3 (k = 3) SGCM (351
representations)

Fig. 15 The estimated threshold probability at t = 1 day (a), t = 5 days (b), and t = 10 days (c) from fourth-order (p = 4) PCM (126
representations)

5. Stochastic collocation method is applicable to prob-
lems with non-normal (or non-lognormal) inputs.
Because of the generality of Lagrange polynomials,
it is straightforward to use sparse grid collocation
method to characterize non-normal inputs. However,
for the probabilistic collocation method, the general-
ized polynomial chaos (Xiu and Karniadakis, 2002)
may be needed to handle the non-normal inputs.
As expected, the performance of stochastic collocation
methods depends on the number of random sources being
considered and their respective variances. It is also known that
different parameters may have distinct impacts on the total
uncertainty. The ‘‘small’’ and ‘‘mild’’ uncertainties used in this
study are qualitative rather than quantitative expressions. It
should be noted that for the threshold probability with random
fields involved, additional techniques (such as Karhunen-Lo-
eve expansion) have to be introduced to represent the random
fields as a combination of random variables. The Lagrange
polynomials interpolation and polynomial chaos expansion
would retain the same form as presented in this paper although
one has to generate independent random vectors (rather than
variables) during the interpolation.
Acknowledgements This work is partially supported by Natural
Science Foundation of China (NSFC) under grants 50688901,
40672164, and 0620631. And LS Shi would like to acknowledge the
support by China Scholarship Council through grant 2007101645.

123
Stoch Environ Res Risk Assess (2010) 24:971–984
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