A Dynamical Sparse Grid Collocation Method for Differential Equations Driven by White Noise

We propose a sparse grid stochastic collocation method for long-time simulations of stochastic differential equations (SDEs) driven by white noise. The method uses pre-determined sparse quadrature rules for the forcing term and constructs evolving set of sparse quadrature rules for the solution variables in time. We carry out a restarting scheme to keep the dimension of random variables for the forcing term, therefore also the number of quadrature points, independent of time. At each restart, a sparse quadrature rule for the current solution variables is constructed based on the knowledge of moments and the previous quadrature rules via a minimization procedure. In this way, the method allows us to capture the long-time solutions accurately using small degrees of freedom. We apply the algorithm to low-dimensional nonlinear SDEs and demonstrate its capability in long-time simulations numerically

Variance-based sensitivity analysis for time-dependent processes

The global sensitivity analysis of time-dependent processes requires history-aware approaches. We develop for that purpose a variance-based method that leverages the correlation structure of the problems under study and employs surrogate models to accelerate the computations. The errors resulting from fixing unimportant uncertain parameters to their nominal values are analyzed through a priori estimates. We illustrate our approach on a harmonic oscillator example and on a nonlinear dynamic cholera model.Comment: 28 Pages; revised version; accepted for publication in Reliability Engineering & System Safet

Stochastic dynamical low-rank approximation method

In this paper, we extend the dynamical low-rank approximation method to the space of finite signed measures. Under this framework, we derive stochastic low-rank dynamics for stochastic differential equations (SDEs) coming from classical stochastic dynamics or unraveling of Lindblad quantum master equations. We justify the proposed method by error analysis and also numerical examples for applications in solving high-dimensional SDE, stochastic Burgers' equation, and high-dimensional Lindblad equation.Comment: 27 pages, 8 figure