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

DOI10.1007/S10208-021-09514-YzbMATH Open1501.65084arXiv1912.02571OpenAlexW2997339296WikidataQ115385125 ScholiaQ115385125MaRDI QIDQ2162115FDOQ2162115

Authors: Martin Hutzenthaler, Arnulf Jentzen, Thomas Kruse 

Publication date: 5 August 2022

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

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.

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

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zbMATH Keywords

PDEcurse of dimensionalitybackward stochastic differential equationmultilevel Monte Carlopartial differential equationBSDEgradient-dependent nonlinearitymultilevel Picard

Mathematics Subject Classification ID

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

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Cited In (13)

• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
• Numerical solution of the modified and non-Newtonian Burgers equations by stochastic coded trees
• Results and questions on a nonlinear approximation approach for solving high-dimensional partial differential equations
• A deep branching solver for fully nonlinear partial differential equations
• Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
• Overcoming the curse of dimensionality in the numerical approximation of high-dimensional semilinear elliptic partial differential equations
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• Active learning based sampling for high-dimensional nonlinear partial differential equations
• Statistical variational data assimilation
• On the speed of convergence of Picard iterations of backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• Nesting Monte Carlo for high-dimensional non-linear PDEs

Uses Software

• PDE-Net
• DGM

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