An efficient stochastic particle method for moderately high-dimensional nonlinear PDEs

Numerical resolution of moderately high-dimensional nonlinear PDEs remains a huge challenge due to the curse of dimensionality for the classical numerical methods including finite difference, finite element and spectral methods . Starting from the weak formulation of the Lawson-Euler scheme, this paper proposes a stochastic particle method (SPM) by tracking the deterministic motion, random jump, resampling and reweighting of particles. Real-valued weighted particles are adopted by SPM to approximate the high-dimensional solution, which automatically adjusts the point distribution to intimate the relevant feature of the solution. A piecewise constant reconstruction with virtual uniform grid is employed to evaluate the nonlinear terms, which fully exploits the intrinsic adaptive characteristic of SPM. Combining both, SPM can achieve the goal of adaptive sampling in time. Numerical experiments on the 6-D Allen-Cahn equation and the 7-D Hamiltonian-Jacobi-Bellman equation demonstrate the potential of SPM in solving moderately high-dimensional nonlinear PDEs efficiently while maintaining an acceptable accuracy. • A stochastic particle method (SPM) is designed for general nonlinear PDEs without transparent probabilistic interpretations. • The relocating technique is proposed to achieve the goal of adaptive sampling in time and significantly reduce the variance. • SPM can solve moderately high-dimensional, nonlinear, local and nonlocal PDEs efficiently within an acceptable accuracy.