The uniform sparse FFT with application to PDEs with random coefficients
DOI10.1007/s43670-022-00037-3MaRDI QIDQ2098298
Daniel Potts, Lutz Kämmerer, Fabian Taubert
Publication date: 17 November 2022
Published in: Sampling Theory, Signal Processing, and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.04131
stochastic differential equation; uncertainty quantification; lattice rule; sparse fast Fourier transform; periodization; sparse FFT; high dimensional trigonometric approximation; partial differential equation with random coefficient
65C20: Probabilistic models, generic numerical methods in probability and statistics
65C05: Monte Carlo methods
60-08: Computational methods for problems pertaining to probability theory
65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
65T50: Numerical methods for discrete and fast Fourier transforms
35R60: PDEs with randomness, stochastic partial differential equations
65C30: Numerical solutions to stochastic differential and integral equations
65D15: Algorithms for approximation of functions
65T40: Numerical methods for trigonometric approximation and interpolation
42B05: Fourier series and coefficients in several variables
42B37: Harmonic analysis and PDEs
35C09: Trigonometric solutions to PDEs
Uses Software
