Numerical solution of high dimensional stationary Fokker-Planck equations via tensor decomposition and Chebyshev spectral differentiation

DOI10.1016/j.camwa.2014.04.017zbMath1367.65177OpenAlexW2063997360MaRDI QIDQ2364231

Yifei Sun, Mrinal Kumar

Publication date: 18 July 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2014.04.017

zbMATH Keywords

Fokker-Planck equationChebyshev spectral methodcurse of dimensionalityseparation of variablestensor decompositionnumerical partial differential equation

Mathematics Subject Classification ID

Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fokker-Planck equations (35Q84)

Related Items (10)

Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically ⋮ Uncertainty propagation in orbital mechanics via tensor decomposition ⋮ Low-rank tensor methods for partial differential equations ⋮ Unconditionally stable Monte Carlo simulation for solving the multi-dimensional Allen-Cahn equation ⋮ Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions ⋮ Rigorous Analysis for Efficient Statistically Accurate Algorithms for Solving Fokker--Planck Equations in Large Dimensions ⋮ A fast numerical method to price American options under the Bates model ⋮ Asymptotically exact a posteriori error estimators for first-order div least-squares methods in local and global \(L_2\) norm ⋮ A numerical solver for high dimensional transient Fokker-Planck equation in modeling polymeric fluids ⋮ On the Compressibility of Tensors

Uses Software

• Matlab

Cites Work

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