A novel variable-separation method based on sparse and low rank representation for stochastic partial differential equations

DOI10.1137/16M1100010zbMATH Open1379.65004MaRDI QIDQ4597616FDOQ4597616

Authors: Qiuqi Li, L. Jiang 

Publication date: 13 December 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: In this paper, we propose a novel variable-separation (NVS) method for generic multivariate functions. The idea of NVS is extended to to obtain the solution in tensor product structure for stochastic partial differential equations (SPDEs). Compared with many widely used variation-separation methods, NVS shares their merits but has less computation complexity and better efficiency. NVS can be used to get the separated representation of the solution for SPDE in a systematic enrichment manner. No iteration is performed at each enrichment step. This is a significant improvement compared with proper generalized decomposition. Because the stochastic functions of the separated representations obtained by NVS depend on the previous terms, this impacts on the computation efficiency and brings great challenge for numerical simulation for the problems in high stochastic dimensional spaces. In order to overcome the difficulty, we propose an improved least angle regression algorithm (ILARS) and a hierarchical sparse low rank tensor approximation (HSLRTA) method based on sparse regularization. For ILARS, we explicitly give the selection of the optimal regularization parameters at each step based on least angle regression algorithm (LARS) for lasso problems such that ILARS is much more efficient. HSLRTA hierarchically decomposes a high dimensional problem into some low dimensional problems and brings an accurate approximation for the solution to SPDEs in high dimensional stochastic spaces using limited computer resource. A few numerical examples are presented to illustrate the efficacy of the proposed methods.

Full work available at URL: https://arxiv.org/abs/1611.04093

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zbMATH Keywords

sparse regularizationhierarchical sparse low rank tensor approximationimproved least angle regression algorithmnovel variable-separationnumerical exanples

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (9)

• A new bi-fidelity model reduction method for Bayesian inverse problems
• A hybrid model reduction method for stochastic parabolic optimal control problems
• A low-rank approximated multiscale method for PDEs with random coefficients
• Stochastic Chebyshev-Picard iteration method for nonlinear differential equations with random inputs
• A two-stage variable-separation Kalman filter for data assimilation
• An adaptive method based on local dynamic mode decomposition for parametric dynamical systems
• Stochastic domain decomposition based on variable-separation method
• Multiscale model reduction for stochastic elasticity problems using ensemble variable-separated method
• A Variable-Separation Method for Nonlinear Partial Differential Equations With Random Inputs

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