A recursive sparse grid collocation method for differential equations with white noise

DOI10.1137/130938906MaRDI QIDQ2930002OpenAlexarXivFDO

Authors

Publication date 17 November 2014

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.5605

zbMATH Keywords

Euler schemelong time integrationnumerical exampleSmolyak's sparse gridstochastic collocationstochastic partial differential equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Abstract: We consider a sparse grid collocation method in conjunction with a time discretization of the differential equations for computing expectations of functionals of solutions to differential equations perturbed by time-dependent white noise. We first analyze the error of Smolyak's sparse grid collocation used to evaluate expectations of functionals of solutions to stochastic differential equations discretized by the Euler scheme. We show theoretically and numerically that this algorithm can have satisfactory accuracy for small magnitude of noise or small integration time, however it does not converge neither with decrease of the Euler scheme's time step size nor with increase of Smolyak's sparse grid level. Subsequently, we use this method as a building block for proposing a new algorithm by combining sparse grid collocation with a recursive procedure. This approach allows us to numerically integrate linear stochastic partial differential equations over longer times, which is illustrated in numerical tests on a stochastic advection-diffusion equation.

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Cited in

(6)

• Numerical solutions of stochastic PDEs driven by arbitrary type of noise
• Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise
• Constructing surrogate models of complex systems with enhanced sparsity: quantifying the influence of conformational uncertainty in biomolecular solvation
• Semi-implicit integration factor methods on sparse grids for high-dimensional systems
• Approximating Stochastic Evolution Equations with Additive White and Rough Noises
• Numerical solutions of stochastic PDEs driven by Ornstein-Uhlenbeck noise

Describes a project that uses

Uses Software

• Smolpack

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