Hermite spectral method with hyperbolic cross approximations to high-dimensional parabolic PDEs

DOI10.1137/120896931MaRDI QIDQ5397609zbMATH OpenOpenAlexFDO

Authors Xue Luo, Stephen Yau

Publication date 24 February 2014

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

Full work available at URL https://arxiv.org/abs/1306.3207

zbMATH Keywords

numerical resultconvergence rateerror estimateexponential convergencehyperbolic crossHermite spectral methodhigh-dimensional parabolic PDEs

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Abstract: It is well-known that sparse grid algorithm has been widely accepted as an efficient tool to overcome the "curse of dimensionality" in some degree. In this note, we first give the error estimate of hyperbolic cross (HC) approximations with generalized Hermite functions. The exponential convergence in both regular and optimized hyperbolic cross approximations has been shown. Moreover, the error estimate of Hermite spectral method to high-dimensional linear parabolic PDEs with HC approximations has been investigated in the properly weighted Korobov spaces. The numerical result verifies the exponential convergence of this approach.

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Cited in

(9)

• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• Error analysis of the Wiener-Askey polynomial chaos with hyperbolic cross approximation and its application to differential equations with random input
• Hermite methods for hyperbolic initial-boundary value problems
• Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs
• Approximation of solutions to multidimensional parabolic equations by approximate approximations
• A fully discrete pseudospectral method for the nonlinear Fokker-Planck equations on the whole line
• Adaptive hyperbolic-cross-space mapped Jacobi method on unbounded domains with applications to solving multidimensional spatiotemporal integrodifferential equations
• Sparse spectral approximations of high-dimensional problems based on hyperbolic cross
• An Hermite-Obreschkoff method for stiff high-index DAE

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