Approximation of stochastic partial differential equations by a kernel-based collocation method

DOI10.1080/00207160.2012.688111zbMATH Open1269.65006arXiv1108.4213OpenAlexW2136597118MaRDI QIDQ4902864FDOQ4902864

Authors: Igor Cialenco, Gregory E. Fasshauer, Qi Ye 

Publication date: 18 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Abstract: In this paper we present the theoretical framework needed to justify the use of a kernel-based collocation method (meshfree approximation method) to estimate the solution of high-dimensional stochastic partial differential equations (SPDEs). Using an implicit time stepping scheme, we transform stochastic parabolic equations into stochastic elliptic equations. Our main attention is concentrated on the numerical solution of the elliptic equations at each time step. The estimator of the solution of the elliptic equations is given as a linear combination of reproducing kernels derived from the differential and boundary operators of the SPDE centered at collocation points to be chosen by the user. The random expansion coefficients are computed by solving a random system of linear equations. Numerical experiments demonstrate the feasibility of the method.

Full work available at URL: https://arxiv.org/abs/1108.4213

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zbMATH Keywords

Gaussian processimplicit Euler schemestochastic partial differential equationreproducing kernelkernel-based collocationMatérn function

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cites Work

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• Reproducing kernels of generalized Sobolev spaces via a Green function approach with distributional operators
• Solution of stochastic partial differential equations using Galerkin finite element techniques
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Cited In (34)

• Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization
• A Galerkin radial basis function method for nonlocal diffusion
• The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
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• A shooting reproducing kernel Hilbert space method for multiple solutions of nonlinear boundary value problems
• Meshless simulation of stochastic advection-diffusion equations based on radial basis functions
• The kernel regularized learning algorithm for solving Laplace equation with Dirichlet boundary
• Generalized regularized least-squares approximation of noisy data with application to stochastic PDEs
• An iterative reproducing kernel method in Hilbert space for the multi-point boundary value problems
• Probabilistic integration: a role in statistical computation?
• Optimal designs of positive definite kernels for scattered data approximation
• Strong approximations for stochastic differential equations with boundary conditions
• A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
• Multivariate Monte Carlo approximation based on scattered data
• Reproducing kernel Hilbert spaces for parametric partial differential equations
• Kernel-based collocation methods versus Galerkin finite element methods for approximating elliptic stochastic partial differential equations
• A kernel-based collocation method for elliptic partial differential equations with random coefficients
• Reproducing kernels of Sobolev spaces via a Green kernel approach with differential operators and boundary operators
• Numerical solution of stochastic partial differential equations using a collocation method
• Approximation of nonlinear stochastic partial differential equations by a kernel-based collocation method
• Numerical solution of time-dependent stochastic partial differential equations using RBF partition of unity collocation method based on finite difference
• Bayesian probabilistic numerical methods in time-dependent state estimation for industrial hydrocyclone equipment
• Error analysis of kernel/GP methods for nonlinear and parametric PDEs
• A meshless method based on the dual reciprocity method for one-dimensional stochastic partial differential equations
• Images of Gaussian and other stochastic processes under closed, densely-defined, unbounded linear operators
• A polynomial-augmented RBF collocation method for fourth-order boundary value problems
• Kernel-based approximation methods for partial differential equations: deterministic or stochastic problems?
• Solution of time‐fractional stochastic nonlinear sine‐Gordon equation via finite difference and meshfree techniques
• Small sample spaces for Gaussian processes
• Stabilized IMLS based element free Galerkin method for stochastic elliptic partial differential equations
• Numerical solution of two-dimensional stochastic time-fractional Sine-Gordon equation on non-rectangular domains using finite difference and meshfree methods
• Numerical solution of stochastic elliptic partial differential equations using the meshless method of radial basis functions
• The approximate solution of one dimensional stochastic evolution equations by meshless methods
• Analysis on the stability of numerical schemes for a class of stochastic partial differential systems

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