Efficient sum-of-exponentials approximations for the heat kernel and their applications

In this paper, we show that efficient separated sum-of-exponentials approximations can be constructed for the heat kernel in any dimension. In one space dimension, the heat kernel admits an approximation involving a number of terms that is of the order $O(\log(\frac{T}{\delta}) (\log(\frac{1}{\epsilon})+\log\log(\frac{T}{\delta})))$ for any x\in\bbR and $\delta \leq t \leq T$, where $\epsilon$ is the desired precision. In all higher dimensions, the corresponding heat kernel admits an approximation involving only $O(\log^2(\frac{T}{\delta}))$ terms for fixed accuracy $\epsilon$. These approximations can be used to accelerate integral equation-based methods for boundary value problems governed by the heat equation in complex geometry. The resulting algorithms are nearly optimal. For $N_S$ points in the spatial discretization and $N_T$ time steps, the cost is $O(N_S N_T \log^2 \frac{T}{\delta})$ in terms of both memory and CPU time for fixed accuracy $\epsilon$. The algorithms can be parallelized in a straightforward manner. Several numerical examples are presented to illustrate the accuracy and stability of these approximations.Comment: 23 pages, 5 figures, 3 table

Solving Fredholm second-kind integral equations with singular right-hand sides on non-smooth boundaries

A numerical scheme is presented for the solution of Fredholm second-kind boundary integral equations with right-hand sides that are singular at a finite set of boundary points. The boundaries themselves may be non-smooth. The scheme, which builds on recursively compressed inverse preconditioning (RCIP), is universal as it is independent of the nature of the singularities. Strong right-hand-side singularities, such as $1/|r|^\alpha$ with $\alpha$ close to $1$, can be treated in full machine precision. Adaptive refinement is used only in the recursive construction of the preconditioner, leading to an optimal number of discretization points and superior stability in the solve phase. The performance of the scheme is illustrated via several numerical examples, including an application to an integral equation derived from the linearized BGKW kinetic equation for the steady Couette flow.Comment: 29 pages, 19 figure