In this paper, we present an adaptive, analysis of variance (ANOVA)-based data-driven stochastic method (ANOVA-DSM) to study the stochastic partial differential equations (SPDEs) in the multi-query setting. Our new method integrates the advantages of both the adaptive ANOVA decomposition technique and the data-driven stochastic method. To handle high-dimensional stochastic problems, we investigate the use of adaptive ANOVA decomposition in the stochastic space as an effective dimension-reduction technique. To improve the slow convergence of the generalized polynomial chaos (gPC) method or stochastic collocation (SC) method, we adopt the data-driven stochastic method (DSM) for speed up. An essential ingredient of the DSM is to construct a set of stochastic basis under which the stochastic solutions enjoy a compact representation for a broad range of forcing functions and/or boundary conditions

The numerical solution of the one-dimensional KleinGordon equation on an unbounded domain is analyzed in this paper. Two artificial boundary conditions are obtained to reduce the original problem to an initial boundary value problem on a bounded computational domain, which is discretized by an explicit difference scheme. The stability and convergence of the scheme are analyzed by the energy method. A fast algorithm is obtained to reduce the computational cost and a discrete artificial boundary condition (DABC) is derived by the <i>Z</i>-transform approach. Finally, we illustrate the efficiency of the proposed method by several numerical examples.

The numerical solution of the one-dimensional nonlinear Klein-Gordon equation on an unbounded domain is studied in this paper. Split local absorbing boundary (SLAB) conditions are obtained by the operator splitting method, then the original problem is reduced to an initial boundary value problem on a bounded computational domain, which can be solved by the finite difference method. Several numerical examples are provided to show the advantages and effectiveness of the given method, and some interesting collision behaviors are also observed.

This is part II of our paper in which we propose and develop a dynamically bi-orthogonal method (DyBO) to study a class of time-dependent stochastic partial differential equations (SPDEs) whose solutions enjoy a low-dimensional structure. In part I of our paper [9], we derived the DyBO formulation and proposed numerical algorithms based on this formulation. Some important theoretical results regarding consistency and bi-orthogonality preservation were also established in the first part along with a range of numerical examples to illustrate the effectiveness of the DyBO method. In this paper, we focus on the computational complexity analysis and develop an effective adaptivity strategy to add or remove modes dynamically. Our complexity analysis shows that the ratio of computational complexities between the DyBO method and a generalized polynomial chaos method (gPC) is roughly of order O ((m/N p) 3) for a

We propose a dynamically bi-orthogonal method (DyBO) to solve time dependent stochastic partial differential equations (SPDEs). The objective of our method is to exploit some intrinsic sparse structure in the stochastic solution by constructing the sparsest representation of the stochastic solution via a bi-orthogonal basis. It is well-known that the KarhunenLoeve expansion (KLE) minimizes the total mean squared error and gives the sparsest representation of stochastic solutions. However, the computation of the KL expansion could be quite expensive since we need to form a covariance matrix and solve a large-scale eigenvalue problem. The main contribution of this paper is that we derive an equivalent system that governs the evolution of the spatial and stochastic basis in the KL expansion. Unlike other reduced model methods, our method constructs the reduced basis on-the-fly without the need to form the