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

Document Type

Article

Publication Date

6-22-2015

Abstract

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 (Formula Presented.) for any x∈ℝR and δ≤t≤T, where (Formula Presented.) is the desired precision. In all higher dimensions, the corresponding heat kernel admits an approximation involving only (Formula Presented.) terms for fixed accuracy (Formula Presented.). 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 NS points in the spatial discretization and NT time steps, the cost is (Formula Presented.) in terms of both memory and CPU time for fixed accuracy (Formula Presented.). The algorithms can be parallelized in a straightforward manner. Several numerical examples are presented to illustrate the accuracy and stability of these approximations.

Identifier

84937191308 (Scopus)

Publication Title

Advances in Computational Mathematics

External Full Text Location

https://doi.org/10.1007/s10444-014-9372-1

e-ISSN

15729044

ISSN

10197168

First Page

529

Last Page

551

Issue

3

Volume

41

Grant

CCF-0905395

Fund Ref

National Science Foundation

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