A recursive sparse grid collocation method for differential equations with white noise

Zhang, Zhongqiang; Tretyakov, Mikhail; Rozovskii, Boris; Karniadakis, George Em

Abstract

We consider a sparse grid collocation method in conjunction with a time discretization of the differential equations for computing expectations of functionals of solutions to differential equations perturbed by time-dependent white noise. We first analyze the error of Smolyak's sparse grid collocation used to evaluate expectations of functionals of solutions to stochastic differential equations discretized by the Euler scheme. We show theoretically and numerically that this algorithm can have satisfactory accuracy for small noise magnitude or small integration time, however it does not converge either with decrease of the Euler scheme's time step size or with increase of Smolyak's sparse grid level. Subsequently, we use this method as a building block for proposing a new algorithm by combining sparse grid collocation with a recursive procedure. This approach allows us to numerically integrate linear stochastic partial differential equations over longer times, which is illustrated in numerical tests on a stochastic advection-diffusion equation.

Citation

Zhang, Z., Tretyakov, M., Rozovskii, B., & Karniadakis, G. E. (2014). A recursive sparse grid collocation method for differential equations with white noise. SIAM Journal on Scientific Computing, 36(4), A1652–A1677. https://doi.org/10.1137/130938906

• Journal Article Type: Article
• Acceptance Date: Jun 3, 2014
• Online Publication Date: Aug 5, 2014
• Publication Date: Aug 14, 2014
• Deposit Date: Mar 8, 2018
• Publicly Available Date: Feb 20, 2019
• Print ISSN: 1064-8275
• Electronic ISSN: 1095-7197
• Publisher: Society for Industrial and Applied Mathematics
• Peer Reviewed: Peer Reviewed
• Volume: 36
• Issue: 4
• Pages: A1652–A1677
• DOI: https://doi.org/10.1137/130938906
• Keywords: Smolyak’s sparse grid; stochastic collocation; long time integration; stochastic partial differential equations
• Public URL: https://nottingham-repository.worktribe.com/output/1101304
• Publisher URL: https://epubs.siam.org/doi/10.1137/130938906
• Related Public URLs: http://dx.doi.org/10.1137/130938906
• Contract Date: Nov 19, 2018