Sparse Monte Carlo method for nonlocal diffusion problems

DOI10.1137/19M1308657MaRDI QIDQ5048296zbMATH OpenOpenAlexFDO

Authors Dmitry Kaliuzhnyi-Verbovetskyi, Georgi S. Medvedev

Publication date 15 November 2022

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.10844

zbMATH Keywords

error estimatenonlinear diffusionnonlocal diffusioninitial value problemsparse Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: A class of evolution equations with nonlocal diffusion is considered in this work. These are integro-differential equations arising as models of propagation phenomena in continuum media with nonlocal interactions including neural tissue, porous media flow, peridynamics, models with fractional diffusion, as well as continuum limits of interacting dynamical systems. The principal challenge of numerical integration of nonlocal systems stems from the lack of spatial regularity of the data and solutions intrinsic to nonlocal models. To overcome this problem we propose a semidiscrete numerical scheme based on the combination of sparse Monte Carlo and discontinuous Galerkin methods. An important feature of our method is sparsity. Sparse sampling of points in the Monte Carlo approximation of the nonlocal term allows to use fewer discretization points without compromising the accuracy. We prove convergence of the numerical method and estimate the rate of convergence. There are two principal ingredients in the error of the numerical method related to the use of Monte Calro and Galerkin approximations respectively. We analyze both errors. Two representative examples of discontinuous kernels are presented. The first example features a kernel with a singularity, while the kernel in the second example experiences jump discontinuity. We show how the information about the singularity in the former case and the geometry of the discontinuity set in the latter translate into the rate of convergence of the numerical procedure. In addition, we illustrate the rate of convergence estimate with a numerical example of an initial value problem, for which an explicit analytic solution is available. Numerical results are consistent with analytical estimates.

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Cited in

(7)

• MC-Nonlocal-PINNs: Handling Nonlocal Operators in PINNs Via Monte Carlo Sampling
• Convergence of the EBT method for a non-local model of cell proliferation with discontinuous interaction kernel
• A discretization method for nonlocal diffusion type equations
• Analysis of a line method for reaction-diffusion models of nonlocal type
• A numerical method for a nonlocal diffusion equation with additive noise
• On the continuum limit of epidemiological models on graphs: convergence and approximation results
• Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs

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