A sparse FFT approach for ODE with random coefficients

Abstract: The paper presents a general strategy to solve ordinary differential equations (ODE), where some coefficient depend on the spatial variable and on additional random variables. The approach is based on the application of a recently developed dimension-incremental sparse fast Fourier transform. Since such algorithms require periodic signals, we discuss periodization strategies and associated necessary deperiodization modifications within the occuring solution steps. The computed approximate solutions of the ODE depend on the spatial variable and on the random variables as well. Certainly, one of the crucial challenges of the high dimensional approximation process is to rate the influence of each variable on the solution as well as the determination of the relations and couplings within the set of variables. The suggested approach meets these challenges in a full automatic manner with reasonable computational costs, i.e., in contrast to already existing approaches, one does not need to seriously restrict the used set of ansatz functions in advance.