A Compressive Sampling Approach To Adaptive Multi-Resolution Approximation of Differential Equations With Random Inputs

Abstract

In this paper, a novel method to adaptively approximate the solution to stochastic differential equations, which is based on compressive sampling and sparse recovery, is introduced. The proposed method consider the problem of sparse recovery with respect to multi-wavelet basis (MWB) from a small number of random samples to approximate the solution to problems. To illustrate the robustness of developed method, three benchmark problems are studied and main statistical features of solutions such as the variance and the mean of solutions obtained by proposed method are compared with the ones obtained from Monte Carlo simulations.