Stochastic Methods for Solving High-Dimensional Partial Differential Equations

DOI10.1007/978-3-030-43465-6_6MaRDI QIDQ5117925zbMATH OpenOpenAlexFDO

Authors Marie Billaud Friess, Arthur Macherey, A. Nouy, Clémentine Prieur

Publication date 26 August 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.05423

zbMATH Keywords

stochastic algorithmshigh dimensional PDEsadaptive sparse interpolation

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
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• Numerical tensor calculus
• Sequential Control Variates for Functionals of Markov Processes
• Sparse adaptive Taylor approximation algorithms for parametric and stochastic elliptic PDEs
• Sparse grids
• Stopped diffusion processes: boundary corrections and overshoot
• Tensor networks and hierarchical tensors for the solution of high-dimensional partial differential equations
• Tensor-train decomposition

Cited in

(7)

• A probabilistic reduced basis method for parameter-dependent problems
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters
• A stochastic solution of a high order parabolic equation
• Stochastic methods for solving high-dimensional partial differential equations
• Multi-element probabilistic collocation method in high dimensions

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