Semi-implicit integration factor methods on sparse grids for high-dimensional systems

Abstract

Numerical methods for partial differential equations in high-dimensional spaces are often limited by the curse of dimensionality. Though the sparse grid technique, based on a one-dimensional hierarchical basis through tensor products, is popular for handling challenges such as those associated with spatial discretization, the stability conditions on time step size due to temporal discretization, such as those associated with high-order derivatives in space and stiff reactions, remain. Here, we incorporate the sparse grids with the implicit integration factor method (IIF) that is advantageous in terms of stability conditions for systems containing stiff reactions and diffusions. We combine IIF, in which the reaction is treated implicitly and the diffusion is treated explicitly and exactly, with various sparse grid techniques based on the finite element and finite difference methods and a multi-level combination approach. The overall method is found to be efficient in terms of both storage and computational time for solving a wide range of PDEs in high dimensions. In particular, the IIF with the sparse grid combination technique is flexible and effective in solving systems that may include cross-derivatives and non-constant diffusion coefficients. Extensive numerical simulations in both linear and nonlinear systems in high dimensions, along with applications of diffusive logistic equations and Fokker–Planck equations, demonstrate the accuracy, efficiency, and robustness of the new methods, indicating potential broad applications of the sparse grid-based integration factor method.