Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients.
Ganna LeonenkoTim N. PhillipsPublished in: J. Comput. Appl. Math. (2015)
Keyphrases
- high dimensional
- finite difference
- numerical methods
- randomized approximation
- polynomial equations
- series expansion
- solving partial differential equations
- partial differential equations
- numerically stable
- numerical calculation
- basis functions
- smooth functions
- error bounds
- difference equations
- nearest neighbor
- mathematical model
- linear combination
- lagrange interpolation
- closed form
- wavelet coefficients
- low dimensional
- dimensionality reduction
- low order
- finite element
- numerical solution
- sparse data
- variable selection
- data sets
- sensitivity analysis
- parameter space
- differential equations
- approximation algorithms
- numerical scheme
- input space
- numerical integration
- low degree
- high dimensionality
- alternating direction
- multi dimensional
- learning algorithm
- data points
- taylor series expansion
- high dimensional data
- symmetric matrix
- similarity search
- queueing networks
- numerical analysis
- discrete data