Convergence of a greedy algorithm for high-dimensional convex nonlinear problems
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Abstract: In this article, we present a greedy algorithm based on a tensor product decomposition, whose aim is to compute the global minimum of a strongly convex energy functional. We prove the convergence of our method provided that the gradient of the energy is Lipschitz on bounded sets. The main interest of this method is that it can be used for high-dimensional nonlinear convex problems. We illustrate this method on a prototypical example for uncertainty propagation on the obstacle problem.
This paper presents a new algorithm to compute the global minimum of a strongly convex energy functional. For this purpose the authors propose a tensor product decomposition of the considered space into two Hilbert spaces to formulate then a greedy algorithm based on this decomposition. The convergence of the method is shown provided that the gradient of the energy is Lipschitz on bounded sets. Furthermore, in the finite-dimensional case, a fast rate on convergence is shown. The extension of the results for a splitting into more than two Hilbert spaces is discussed. Numerical results illustrate the behavior of the proposed method using a one-dimensional membrane problem with uncertainty.
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