LAUSR

We present and analyze a novel wavelet–Fourier technique for the numerical treatment of multidimensional advection–diffusion–reaction equations based on the COmpRessed SolvING (CORSING) paradigm. Combining the Petrov–Galerkin technique with the compressed sensing approach the proposed method is able to approximate the largest coefficients of the solution with respect to a biorthogonal wavelet basis. Namely, we assemble a compressed discretization based on randomized subsampling of the Fourier test space and we employ sparse recovery techniques to approximate the solution to the partial differential equation (PDE). In this paper we provide the first rigorous recovery error bounds and effective recipes for the implementation of the CORSING technique in the multidimensional setting. Our theoretical analysis relies on new estimates for the local $a$-coherence, which measures interferences between wavelet and Fourier basis functions with respect to the metric induced by the PDE operator. The stability and robustness of the proposed scheme are shown by numerical illustrations in the one-, two- and three-dimensional cases.