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Stochastic dynamical low-rank approximation method
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DOI：10.1016/j.jcp.2018.06.058.png)
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Abstract
En 中文
In this paper, we extend the dynamical low-rank approximation method to the space of finite signed measures. Under this framework, we derive stochastic low-rank dynamics for stochastic differential equations (SDEs) coming from classical stochastic dynamics or unraveling of Lindblad quantum master equations. We justify the proposed method by error analysis and also numerical examples for applications in solving high-dimensional SDE, stochastic Burgers' equation, and high-dimensional Lindblad equation. (C) 2018 Elsevier Inc. All rights reserved.
Keywords:
Dynamical low-rank approximation
Stochastic differential equation
Lindblad equation
Model reduction
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