Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs

We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and which is particularly effective if there are a low number of dominant principal components. The focus of the present article is the derivation of sharp error bounds for the constant coefficient case and a first and second order approximation. We give a precise characterisation when these bounds hold for (non-smooth) option pricing applications and provide numerical results demonstrating that the practically observed convergence speed is in agreement with the theoretical predictions

Efficient Multigrid Preconditioners for Atmospheric Flow Simulations at High Aspect Ratio

Many problems in fluid modelling require the efficient solution of highly anisotropic elliptic partial differential equations (PDEs) in "flat" domains. For example, in numerical weather- and climate-prediction an elliptic PDE for the pressure correction has to be solved at every time step in a thin spherical shell representing the global atmosphere. This elliptic solve can be one of the computationally most demanding components in semi-implicit semi-Lagrangian time stepping methods which are very popular as they allow for larger model time steps and better overall performance. With increasing model resolution, algorithmically efficient and scalable algorithms are essential to run the code under tight operational time constraints. We discuss the theory and practical application of bespoke geometric multigrid preconditioners for equations of this type. The algorithms deal with the strong anisotropy in the vertical direction by using the tensor-product approach originally analysed by B\"{o}rm and Hiptmair [Numer. Algorithms, 26/3 (2001), pp. 219-234]. We extend the analysis to three dimensions under slightly weakened assumptions, and numerically demonstrate its efficiency for the solution of the elliptic PDE for the global pressure correction in atmospheric forecast models. For this we compare the performance of different multigrid preconditioners on a tensor-product grid with a semi-structured and quasi-uniform horizontal mesh and a one dimensional vertical grid. The code is implemented in the Distributed and Unified Numerics Environment (DUNE), which provides an easy-to-use and scalable environment for algorithms operating on tensor-product grids. Parallel scalability of our solvers on up to 20,480 cores is demonstrated on the HECToR supercomputer.Comment: 22 pages, 6 Figures, 2 Table

A sparse-grid isogeometric solver

Isogeometric Analysis (IGA) typically adopts tensor-product splines and NURBS as a basis for the approximation of the solution of PDEs. In this work, we investigate to which extent IGA solvers can benefit from the so-called sparse-grids construction in its combination technique form, which was first introduced in the early 90s in the context of the approximation of high-dimensional PDEs. The tests that we report show that, in accordance to the literature, a sparse-grid construction can indeed be useful if the solution of the PDE at hand is sufficiently smooth. Sparse grids can also be useful in the case of non-smooth solutions when some a-priori knowledge on the location of the singularities of the solution can be exploited to devise suitable non-equispaced meshes. Finally, we remark that sparse grids can be seen as a simple way to parallelize pre-existing serial IGA solvers in a straightforward fashion, which can be beneficial in many practical situations.Comment: updated version after revie

Tensor and Matrix Inversions with Applications

Higher order tensor inversion is possible for even order. We have shown that a tensor group endowed with the Einstein (contracted) product is isomorphic to the general linear group of degree $n$. With the isomorphic group structures, we derived new tensor decompositions which we have shown to be related to the well-known canonical polyadic decomposition and multilinear SVD. Moreover, within this group structure framework, multilinear systems are derived, specifically, for solving high dimensional PDEs and large discrete quantum models. We also address multilinear systems which do not fit the framework in the least-squares sense, that is, when the tensor has an odd number of modes or when the tensor has distinct dimensions in each modes. With the notion of tensor inversion, multilinear systems are solvable. Numerically we solve multilinear systems using iterative techniques, namely biconjugate gradient and Jacobi methods in tensor format

Sparse approximation of multilinear problems with applications to kernel-based methods in UQ

We provide a framework for the sparse approximation of multilinear problems and show that several problems in uncertainty quantification fit within this framework. In these problems, the value of a multilinear map has to be approximated using approximations of different accuracy and computational work of the arguments of this map. We propose and analyze a generalized version of Smolyak's algorithm, which provides sparse approximation formulas with convergence rates that mitigate the curse of dimension that appears in multilinear approximation problems with a large number of arguments. We apply the general framework to response surface approximation and optimization under uncertainty for parametric partial differential equations using kernel-based approximation. The theoretical results are supplemented by numerical experiments