Existence of dynamical low rank approximations for random semi-linear evolutionary equations on the maximal interval

DOI10.1007/S40072-020-00177-4zbMATH Open1480.35414arXiv2002.02356OpenAlexW3047113000MaRDI QIDQ2062276FDOQ2062276

Authors: Yoshihito Kazashi, F. Nobile 

Publication date: 27 December 2021

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: An existence result is presented for the dynamical low rank (DLR) approximation for random semi-linear evolutionary equations. The DLR solution approximates the true solution at each time instant by a linear combination of products of deterministic and stochastic basis functions, both of which evolve over time. A key to our proof is to find a suitable equivalent formulation of the original problem. The so-called Dual Dynamically Orthogonal formulation turns out to be convenient. Based on this formulation, the DLR approximation is recast to an abstract Cauchy problem in a suitable linear space, for which existence and uniqueness of the solution in the maximal interval are established.

Full work available at URL: https://arxiv.org/abs/2002.02356

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zbMATH Keywords

singular value decompositionwell-posednessabstract Cauchy problemdynamical low rank approximationdual DO formulation

Mathematics Subject Classification ID

Factorization of matrices (15A23) Probabilistic models, generic numerical methods in probability and statistics (65C20) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Closed and approximate solutions to the Schrödinger, Dirac, Klein-Gordon and other equations of quantum mechanics (81Q05)

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Cited In (5)

• Existence of dynamical low-rank approximations to parabolic problems
• Low-rank tensor methods for partial differential equations
• A robust second-order low-rank BUG integrator based on the midpoint rule
• Symplectic dynamical low rank approximation of wave equations with random parameters
• Stability properties of a projector-splitting scheme for dynamical low rank approximation of random parabolic equations

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