A fast sum-of-Gaussians algorithm for the high-dimensional fractional Fokker-Planck equation

Abstract

We present a fast, high-order algorithm for the free-space fractional Fokker-Planck equation (FFPE) in arbitrary spatial dimension. Its fundamental solution, corresponding to a Dirac-delta initial condition, is obtained from the explicit Fourier representation by applying a sum-of-Gaussians (SOG) approximation to the nonseparable stretched exponential, using its complete monotonicity as the Laplace transform of a one-sided $\alpha$-stable density. Each Gaussian term is an ordinary heat kernel and therefore factorizes across spatial coordinates. On a tensor-product grid, the separated form can be assembled in $O(MdN)$ work and storage, rather than forming all $O(N^d)$ grid values, where $M$ is the number of Gaussian terms and $N$ is the number of points per dimension. We prove an a~priori error estimate for the pure-fractional fundamental solution and give a parameter-selection procedure for prescribed accuracy over specified ranges of space and time. In numerical experiments the method achieves more than ten digits of relative accuracy, with $M$ growing only logarithmically in the inverse tolerance, and maintains this accuracy in dimensions up to $d=10^{5}$. This exceeds the dimensions reached in comparable radial-quadrature tests, where the integrand becomes increasingly oscillatory as the dimension grows. Because the method represents the fundamental solution as a separated sum of heat kernels, any initial datum given as a finite sum of tensor products can be evolved in closed form using only one-dimensional convolutions. This yields a computable class of high-dimensional solutions that is amenable to error analysis, and tensor neural networks provide one possible way to construct such separated representations for more general data.