Efficient sum-of-exponentials approximations for the heat kernel and their applications

DOI10.1007/S10444-014-9372-1MaRDI QIDQ2355178zbMATH OpenOpenAlexFDO

Authors Shidong Jiang, Shaobo Wang, Leslie Greengard

Publication date 21 July 2015

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

Full work available at URL https://arxiv.org/abs/1308.3883

zbMATH Keywords

heat kernelinverse Laplace transformsum-of-exponentials approximation

Mathematics Subject Classification ID

General theory of numerical methods in complex analysis (potential theory, etc.) (65E05) Connections of harmonic functions with differential equations in higher dimensions (31B35) Heat kernel (35K08) Approximation in the complex plane (30E10) Asymptotic representations in the complex plane (30E15)

Abstract: In this paper, we show that efficient separated sum-of-exponentials approximations can be constructed for the heat kernel in any dimension. In one space dimension, the heat kernel admits an approximation involving a number of terms that is of the order $O(log(fracTdelta)(log(frac1epsilon)+loglog(fracTdelta)))$ for any $$ and $deltaleqtleqT$, where $epsilon$ is the desired precision. In all higher dimensions, the corresponding heat kernel admits an approximation involving only $O(lo{g}^2(fracTdelta))$ terms for fixed accuracy $epsilon$. These approximations can be used to accelerate integral equation-based methods for boundary value problems governed by the heat equation in complex geometry. The resulting algorithms are nearly optimal. For $N_S$ points in the spatial discretization and $N_T$ time steps, the cost is $O(N_S{N}_{T}lo{g}^{2}fracTdelta)$ in terms of both memory and CPU time for fixed accuracy $epsilon$. The algorithms can be parallelized in a straightforward manner. Several numerical examples are presented to illustrate the accuracy and stability of these approximations.

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