Stochastic dynamical low-rank approximation method
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Publication:2000452
DOI10.1016/J.JCP.2018.06.058zbMATH Open1415.65015arXiv1803.00499OpenAlexW2791638000MaRDI QIDQ2000452FDOQ2000452
Authors: Yu Cao, Jianfeng Lu 
Publication date: 28 June 2019
Published in: Journal of Computational Physics (Search for Journal in Brave)
Abstract: In this paper, we extend the dynamical low-rank approximation method to the space of finite signed measures. Under this framework, we derive stochastic low-rank dynamics for stochastic differential equations (SDEs) coming from classical stochastic dynamics or unraveling of Lindblad quantum master equations. We justify the proposed method by error analysis and also numerical examples for applications in solving high-dimensional SDE, stochastic Burgers' equation, and high-dimensional Lindblad equation.
Full work available at URL: https://arxiv.org/abs/1803.00499
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fokker-Planck equations (35Q84) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (9)
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- A rank-adaptive robust integrator for dynamical low-rank approximation
- Dynamical low-rank approximation to the solution of parabolic differential equations
- Parallel transport dynamics for mixed quantum states with applications to time-dependent density functional theory
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- Adaptive sparse interpolation for accelerating nonlinear stochastic reduced-order modeling with time-dependent bases
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