A space-time adaptive low-rank method for high-dimensional parabolic partial differential equations

02/03/2023

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by   Markus Bachmayr, et al.

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An adaptive method for parabolic partial differential equations that combines sparse wavelet expansions in time with adaptive low-rank approximations in the spatial variables is constructed and analyzed. The method is shown to converge and satisfy similar complexity bounds as existing adaptive low-rank methods for elliptic problems, establishing its suitability for parabolic problems on high-dimensional spatial domains. The construction also yields computable rigorous a posteriori error bounds for such problems. The results are illustrated by numerical experiments.