Carleman Linearization of Parabolic PDEs: Well-posedness, convergence, and efficient numerical methods

Abstract: We explore how the analysis of the Carleman linearization can be extended to dynamical systems on infinite-dimensional Hilbert spaces with quadratic nonlinearities. We demonstrate the well-posedness and convergence of the truncated Carleman linearization under suitable assumptions on the dynamical system, which encompass common parabolic semi-linear partial differential equations such as the Navier-Stokes equations and nonlinear diffusion-advection-reaction equations. Upon discretization, we show that the total approximation error of the linearization decomposes into two independent components: the discretization error and the linearization error. This decomposition yields a convergence radius and convergence rate for the discretized linearization that are independent of the discretization. We thus justify the application of the linearization to parabolic PDE problems. Furthermore, it motivates the use of non-standard structure-exploiting numerical methods, such as sparse grids, taming the curse of dimensionality associated with the Carleman linearization. Finally, we verify the results with numerical experiments.