The uniform sparse FFT with application to PDEs with random coefficients

DOI10.1007/s43670-022-00037-3OpenAlexW3196783496MaRDI QIDQ2098298

Daniel Potts, Fabian Taubert, Lutz Kämmerer

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

zbMATH Keywords

stochastic differential equationuncertainty quantificationlattice rulesparse fast Fourier transformperiodizationsparse FFThigh dimensional trigonometric approximationpartial differential equation with random coefficient

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods for discrete and fast Fourier transforms (65T50) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Algorithms for approximation of functions (65D15) Numerical methods for trigonometric approximation and interpolation (65T40) Fourier series and coefficients in several variables (42B05) Harmonic analysis and PDEs (42B37) Trigonometric solutions to PDEs (35C09)

Related Items (2)

Nonlinear approximation in bounded orthonormal product bases ⋮ An adaptive ANOVA stochastic Galerkin method for partial differential equations with high-dimensional random inputs

Uses Software

• ALEA

Cites Work

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