Numerical solution of high dimensional stationary Fokker-Planck equations via tensor decomposition and Chebyshev spectral differentiation
DOI10.1016/J.CAMWA.2014.04.017zbMATH Open1367.65177OpenAlexW2063997360MaRDI QIDQ2364231FDOQ2364231
Authors: Yifei Sun, Mrinal Kumar 
Publication date: 18 July 2017
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2014.04.017
Recommendations
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
- A numerical solver for high dimensional transient Fokker-Planck equation in modeling polymeric fluids
- Beating the curse of dimension with accurate statistics for the Fokker-Planck equation in complex turbulent systems
- On the solution of the Fokker-Planck equation using a high-order reduced basis approximation
- Tensor decomposition methods for high-dimensional Hamilton-Jacobi-Bellman equations
curse of dimensionalityFokker-Planck equationseparation of variablestensor decompositionChebyshev spectral methodnumerical partial differential equation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fokker-Planck equations (35Q84) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
Cites Work
- Analysis of individual differences in multidimensional scaling via an \(n\)-way generalization of ``Eckart-Young decomposition
- Title not available (Why is that?)
- Tensor Decompositions and Applications
- Algorithms for Numerical Analysis in High Dimensions
- Hierarchical Kronecker tensor-product approximations
- Chebyshev and Fourier spectral methods.
- Spectral Methods in MATLAB
- Title not available (Why is that?)
- A least-squares approximation of partial differential equations with high-dimensional random inputs
- A literature survey of low-rank tensor approximation techniques
- Krylov subspace methods for linear systems with tensor product structure
- Analysis of nonlinear stochastic systems by means of the Fokker–Planck equation†
- Tensor rank is NP-complete
- Multigrid accelerated tensor approximation of function related multidimensional arrays
- \(O(d \log N)\)-quantics approximation of \(N\)-\(d\) tensors in high-dimensional numerical modeling
- A new family of solvers for some classes of multidimensional partial differential equations encountered in kinetic theory modeling of complex fluids
- A projection method to solve linear systems in tensor format
- Proper generalized decomposition of time-multiscale models
- A finite element method for the statistics of non-linear random vibration
- Tensor-based methods for numerical homogenization from high-resolution images
- Enhanced Line Search: A Novel Method to Accelerate PARAFAC
- Simultaneous state-time approximation of the chemical master equation using tensor product formats.
- Stationary and non-stationary probability density function for nonlinear oscillators
Cited In (17)
- Title not available (Why is that?)
- Unconditionally stable Monte Carlo simulation for solving the multi-dimensional Allen-Cahn equation
- On the Compressibility of Tensors
- Uncertainty propagation in orbital mechanics via tensor decomposition
- Low-rank tensor methods for partial differential equations
- Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
- A numerical solver for high dimensional transient Fokker-Planck equation in modeling polymeric fluids
- Probabilistic solutions of the in-plane nonlinear random vibrations of shallow cables under filtered Gaussian white noise
- Asymptotically exact a posteriori error estimators for first-order div least-squares methods in local and global \(L_2\) norm
- Solving high-dimensional Fokker-Planck equation with functional hierarchical tensor
- Solving advection-diffusion equation by proper generalized decomposition with coordinate transformation
- Probabilistic solutions of a nonlinear plate excited by Gaussian white noise fully correlated in space
- Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions
- Beating the curse of dimension with accurate statistics for the Fokker-Planck equation in complex turbulent systems
- Rigorous analysis for efficient statistically accurate algorithms for solving Fokker-Planck equations in large dimensions
- A fast numerical method to price American options under the Bates model
Uses Software
This page was built for publication: Numerical solution of high dimensional stationary Fokker-Planck equations via tensor decomposition and Chebyshev spectral differentiation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2364231)
