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  4. MATHICSE Technical Report: Stability properties of a projector-splitting scheme for the dynamical low rank approximation of random parabolic equations
 
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MATHICSE Technical Report: Stability properties of a projector-splitting scheme for the dynamical low rank approximation of random parabolic equations

Kazashi, Yoshihito  
•
Nobile, Fabio
•
Vidlicková, Eva  
July 2, 2020

We consider the Dynamical Low Rank (DLR) approximation of random parabolic equations and propose a class of fully discrete numerical schemes. Similarly to the continuous DLR approximation, our schemes are shown to satisfy a discrete variational formulation. By exploiting this property, we establish stability of our schemes: we show that our explicit and semi-implicit versions are conditionally stable under a parabolic type CFL condition which does not depend on the smallest singular value of the DLR solution; whereas our implicit scheme is unconditionally stable. Moreover, we show that, in certain cases, the semi-implicit scheme can be unconditionally stable if the randomness in the system is sufficiently small. Furthermore, we show that these schemes can be interpreted as projector-splitting integrators and are strongly related to the scheme proposed by Lubich et al. [BIT Num. Math., 54:171-188, 2014; SIAM J. on Num. Anal., 53:917-941, 2015], to which our stability analysis applies as well. The analysis is supported by numerical results showing the sharpness of the obtained stability conditions.

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Type
working paper
DOI
10.5075/epfl-MATHICSE-278402
Author(s)
Kazashi, Yoshihito  
Nobile, Fabio
Vidlicková, Eva  
Corporate authors
MATHICSE-Group
Date Issued

2020-07-02

Publisher

MATHICSE

Subjects

random parabolic equations

•

reduced basis methods

•

dynamical low rank approximation

•

stability estimates

URL
https://arxiv.org/abs/2006.05211v2
Editorial or Peer reviewed

NON-REVIEWED

Written at

EPFL

EPFL units
CSQI  
RelationURL/DOI

IsPreviousVersionOf

https://infoscience.epfl.ch/record/290432?

IsSupplementedBy

https://doi.org/10.5281/zenodo.3946447
Available on Infoscience
July 2, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/169767
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