Numerical methods for high-dimensional probability density function equations

DOI10.1016/J.JCP.2015.10.030zbMATH Open1349.65046OpenAlexW2113953196MaRDI QIDQ2374964FDOQ2374964

Authors: H. Cho, D. Venturi, George Em Karniadakis 

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/22f03447

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zbMATH Keywords

uncertainty quantificationstochastic dynamical systemsproper generalized decompositionANOVA decompositionhigh-order numerical methodskinetic partial differential equations

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Boltzmann equations (35Q20) PDEs in connection with statistical mechanics (35Q82) Fokker-Planck equations (35Q84) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Cites Work

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Cited In (31)

• Dynamically orthogonal tensor methods for high-dimensional nonlinear PDEs
• The numerical approximation of nonlinear functionals and functional differential equations
• High dimensional numerical problems
• A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
• The impact of competition between cancer cells and healthy cells on optimal drug delivery
• Low-rank tensor methods for partial differential equations
• Improved Moving Least Square-Based Multiple Dimension Decomposition (MDD) Technique for Structural Reliability Analysis
• A new scalable algorithm for computational optimal control under uncertainty
• A new family of solvers for some classes of multidimensional partial differential equations encountered in kinetic theory modelling of complex fluids. II: Transient simulation using space-time separated representations
• Numerical solution of the Fokker-Planck equation using physics-based mixture models
• A numerical investigation of Brockett's ensemble optimal control problems
• A novel variable-separation method based on sparse and low rank representation for stochastic partial differential equations
• Implicit integration of nonlinear evolution equations on tensor manifolds
• Tensor methods for the Boltzmann-BGK equation
• Neural network representation of the probability density function of diffusion processes
• A space-time adaptive low-rank method for high-dimensional parabolic partial differential equations
• Kernel-based prediction of non-Markovian time series
• Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation
• Tensor rank reduction via coordinate flows
• Numerical investigation of a class of Liouville control problems
• Rank-adaptive tensor methods for high-dimensional nonlinear PDEs
• A dynamical adaptive tensor method for the Vlasov-Poisson system
• Multi-element probabilistic collocation method in high dimensions
• Adaptive deep density approximation for stochastic dynamical systems
• Optimization via separated representations and the canonical tensor decomposition
• Model reduction method using variable-separation for stochastic saddle point problems
• Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
• Stochastic domain decomposition based on variable-separation method
• Parallel tensor methods for high-dimensional linear PDEs
• Dynamic tensor approximation of high-dimensional nonlinear PDEs
• A Variable-Separation Method for Nonlinear Partial Differential Equations With Random Inputs

Uses Software

• Boltzmann

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