Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities

DOI10.1007/S10208-021-09514-YMaRDI QIDQ2162115zbMATH OpenOpenAlexWikidataFDO

Authors Martin Hutzenthaler, Arnulf Jentzen, Thomas Kruse

Publication date 5 August 2022

Published in Foundations of Computational Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1912.02571

zbMATH Keywords

backward stochastic differential equationBSDEcurse of dimensionalitygradient-dependent nonlinearitymultilevel Monte Carlomultilevel Picardpartial differential equationPDE

Mathematics Subject Classification ID

Heat equation (35K05) PDEs in connection with classical thermodynamics and heat transfer (35Q79) PDEs with randomness, stochastic partial differential equations (35R60) Monte Carlo methods (65C05) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: Partial differential equations (PDEs) are a fundamental tool in the modeling of many real world phenomena. In a number of such real world phenomena the PDEs under consideration contain gradient-dependent nonlinearities and are high-dimensional. Such high-dimensional nonlinear PDEs can in nearly all cases not be solved explicitly and it is one of the most challenging tasks in applied mathematics to solve high-dimensional nonlinear PDEs approximately. It is especially very challenging to design approximation algorithms for nonlinear PDEs for which one can rigorously prove that they do overcome the so-called curse of dimensionality in the sense that the number of computational operations of the approximation algorithm needed to achieve an approximation precision of size $varepsilon$ > 0 grows at most polynomially in both the PDE dimension $dinmathbbN$ and the reciprocal of the prescribed approximation accuracy $varepsilon$. In particular, to the best of our knowledge there exists no approximation algorithm in the scientific literature which has been proven to overcome the curse of dimensionality in the case of a class of nonlinear PDEs with general time horizons and gradient-dependent nonlinearities. It is the key contribution of this article to overcome this difficulty. More specifically, it is the key contribution of this article (i) to propose a new full-history recursive multilevel Picard approximation algorithm for high-dimensional nonlinear heat equations with general time horizons and gradient-dependent nonlinearities and (ii) to rigorously prove that this full-history recursive multilevel Picard approximation algorithm does indeed overcome the curse of dimensionality in the case of such nonlinear heat equations with gradient-dependent nonlinearities.

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Cited in

(26)

• Nesting Monte Carlo for high-dimensional non-linear PDEs
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• On the speed of convergence of Picard iterations of backward stochastic differential equations
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• Multilevel Picard iterations for parabolic stochastic partial differential equations
• Multilevel Picard approximations overcome the curse of dimensionality when approximating semilinear heat equations with gradient-dependent nonlinearities in L^p-sense
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• Multilevel Picard algorithm for general semilinear parabolic PDEs with gradient-dependent nonlinearities
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Describes a project that uses

Uses Software

• PDE-Net
• DGM

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