Stochastic Methods for Solving High-Dimensional Partial Differential Equations

DOI10.1007/978-3-030-43465-6_6OpenAlexW3023475849MaRDI QIDQ5117925

Marie Billaud Friess, Anthony Nouy, Arthur Macherey, Clémentine Prieur

Publication date: 26 August 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.05423

zbMATH Keywords

stochastic algorithmshigh dimensional PDEsadaptive sparse interpolation

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items

A probabilistic reduced basis method for parameter-dependent problems, Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tensor-Train Decomposition
• High-dimensional adaptive sparse polynomial interpolation and applications to parametric PDEs
• Tensor networks and hierarchical tensors for the solution of high-dimensional partial differential equations
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Stopped diffusion processes: boundary corrections and overshoot
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• A general multipurpose interpolation procedure: The magic points
• Sparse adaptive Taylor approximation algorithms for parametric and stochastic elliptic PDEs
• A literature survey of low-rank tensor approximation techniques
• Multilevel Monte Carlo Methods
• A spectral Monte Carlo method for the Poisson equation
• Numerical tensor calculus
• Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Problems
• Approximation of high-dimensional parametric PDEs
• Sparse grids
• Sequential Control Variates for Functionals of Markov Processes