A sparse FFT approach for ODE with random coefficients

DOI10.1007/S10444-020-09807-WzbMATH Open1455.65241arXiv1901.01600OpenAlexW3042622326MaRDI QIDQ2216613FDOQ2216613

Lutz Kämmerer, Daniel Potts, Maximilian Bochmann

Publication date: 16 December 2020

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Abstract: The paper presents a general strategy to solve ordinary differential equations (ODE), where some coefficient depend on the spatial variable and on additional random variables. The approach is based on the application of a recently developed dimension-incremental sparse fast Fourier transform. Since such algorithms require periodic signals, we discuss periodization strategies and associated necessary deperiodization modifications within the occuring solution steps. The computed approximate solutions of the ODE depend on the spatial variable and on the random variables as well. Certainly, one of the crucial challenges of the high dimensional approximation process is to rate the influence of each variable on the solution as well as the determination of the relations and couplings within the set of variables. The suggested approach meets these challenges in a full automatic manner with reasonable computational costs, i.e., in contrast to already existing approaches, one does not need to seriously restrict the used set of ansatz functions in advance.

Full work available at URL: https://arxiv.org/abs/1901.01600

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zbMATH Keywords

uncertainty quantificationordinary differential equationsparse fast Fourier transformhigh-dimensional approximationrandom coefficientapproximation of moments

Mathematics Subject Classification ID

Trigonometric approximation (42A10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cited In (1)

• The uniform sparse FFT with application to PDEs with random coefficients

Uses Software

• ALEA
• LFFT
• sparseFFTr1l

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