A space-time adaptive low-rank method for high-dimensional parabolic partial differential equations

Journal of Complexity, vol. 82, pp. 101839

Abstract

An adaptive method for parabolic partial differential equations that combines sparse wavelet expansions in time with adaptive low-rank approximations in the spatial variables is constructed and analyzed. The method is shown to converge and satisfy similar complexity bounds as existing adaptive low-rank methods for elliptic problems, establishing its suitability for parabolic problems on high-dimensional spatial domains. The construction also yields computable rigorous a posteriori error bounds for such problems. The results are illustrated by numerical experiments.

Authors 2

1. Markus Bachmayr corresponding Aachen Institut für Geometrie und Praktische Mathematik

   RWTH Aachen University

   Affiliation as printed

   Institut für Geometrie und Praktische Mathematik, RWTH Aachen University, Templergraben 55, 52056 Aachen, Germany

2. Manfred Faldum corresponding Aachen Institut für Geometrie und Praktische Mathematik

   RWTH Aachen University

   Affiliation as printed

   Institut für Geometrie und Praktische Mathematik, RWTH Aachen University, Templergraben 55, 52056 Aachen, Germany