A sparse FFT approach for ODE with random coefficients
DOI10.1007/s10444-020-09807-wzbMath1455.65241arXiv1901.01600OpenAlexW3042622326MaRDI QIDQ2216613
Lutz Kämmerer, Daniel Potts, Maximilian Bochmann
Publication date: 16 December 2020
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.01600
ordinary differential equationhigh-dimensional approximationuncertainty quantificationsparse fast Fourier transformrandom coefficientapproximation of moments
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Trigonometric approximation (42A10) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (1)
Uses Software
Cites Work
- Tent-transformed lattice rules for integration and approximation of multivariate non-periodic functions
- Sparse high-dimensional FFT based on rank-1 lattice sampling
- Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
- Multiple rank-1 lattices as sampling schemes for multivariate trigonometric polynomials
- Sparse harmonic transforms: a new class of sublinear-time algorithms for learning functions of many variables
- Multi-index stochastic collocation for random PDEs
- Constructing spatial discretizations for sparse multivariate trigonometric polynomials that allow for a fast discrete Fourier transform
- Adaptive stochastic Galerkin FEM with hierarchical tensor representations
- Parameter estimation for multivariate exponential sums
- Analytic regularity and nonlinear approximation of a class of parametric semilinear elliptic PDEs
- Reconstructing Multivariate Trigonometric Polynomials from Samples Along Rank-1 Lattices
- Compressive sensing Petrov-Galerkin approximation of high-dimensional parametric operator equations
- Sparse polynomial approximation of parametric elliptic PDEs. Part I: affine coefficients
- Sparse polynomial approximation of parametric elliptic PDEs. Part II: lognormal coefficients
- ANALYTIC REGULARITY AND POLYNOMIAL APPROXIMATION OF PARAMETRIC AND STOCHASTIC ELLIPTIC PDE'S
- A Multilevel Stochastic Collocation Method for Partial Differential Equations with Random Input Data
- Spectral Methods for Uncertainty Quantification
- Reconstruction and collocation of a class of non-periodic functions by sampling along tent-transformed rank-1 lattices
This page was built for publication: A sparse FFT approach for ODE with random coefficients
