## Preprint 2012-08

## Leonardo E. Figueroa, Endre Süli:

### Greedy approximation of high-dimensional Ornstein–Uhlenbeck operators

### Abstract:

We investigate the convergence of a nonlinear approximation method introduced by Ammar et al. (J. Non-Newtonian Fluid Mech. 139:153–176, 2006) for the numerical solution of high-dimensional Fokker–Planck equations featuring in Navier–Stokes–Fokker–Planck systems that arise in kinetic models of dilute polymers. In the case of Poissons equation on a rectangular domain in R^2, subject to a homogeneous Dirichlet boundary condition, the mathematical analysis of the algorithm was carried out recently by Le Bris, Lelièvre and Maday (Const. Approx. 30:621–651, 2009), by exploiting its connection to greedy algorithms from nonlinear approximation theory, explored, for example, by DeVore and Temlyakov (Adv. Comput. Math. 5:173–187, 1996); hence, the variational version of the algorithm, based on the minimization of a sequence of Dirichlet energies, was shown to converge. Here, we extend the convergence analysis of the pure greedy and orthogonal greedy algorithms considered by Le Bris et al. to a technically more complicated situation, where the Laplace operator is replaced by an Ornstein–Uhlenbeck operator of the kind that appears in Fokker–Planck equations that arise in bead-spring chain type kinetic polymer models with finitely extensible nonlinear elastic potentials, posed on a high-dimensional Cartesian product configuration space D = D_1 × ⋯ × D_N contained in R^(N d), where each set D_i, i = 1, …, N, is a bounded open ball in R^d, d = 2, 3.