Numerical solution of parabolic equations in high dimensions (Q5315445)
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scientific article; zbMATH DE number 2203757
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| English | Numerical solution of parabolic equations in high dimensions |
scientific article; zbMATH DE number 2203757 |
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Numerical solution of parabolic equations in high dimensions (English)
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8 September 2005
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discontinuous Galerkin method
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sparse grid
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wavelets
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parabolic partial differential equation
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high dimension
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finite elements
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GMRES iterations
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preconditioner
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error estimates
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algorithm
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convergence
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numerical results
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heat equation
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0.92505825
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0.92176723
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0.91435266
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0.9123254
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0.91117376
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The authors describe a numerical method for solving parabolic equations in many space dimensions. Sparse tensor products of wavelet type finite elements of order \(p\) are used for space discretization. The time integration is based on a discontinuous Galerkin scheme. The resulting linear systems in each time step are solved with GMRES iterations using a wavelet preconditioner. Error estimates of the algorithm are provided and an exponential convergence of the \(hp\)-time stepping scheme for parabolic problems is proven. Numerical results for the heat equation with smooth and singular initial data in up to 25 space dimensions illustrate the properties of the scheme.
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