Greedy algorithms for high-dimensional eigenvalue problems

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Abstract: In this article, we present two new greedy algorithms for the computation of the lowest eigenvalue (and an associated eigenvector) of a high-dimensional eigenvalue problem, and prove some convergence results for these algorithms and their orthogonalized versions. The performance of our algorithms is illustrated on numerical test cases (including the computation of the buckling modes of a microstructured plate), and compared with that of another greedy algorithm for eigenvalue problems introduced by Ammar and Chinesta.


The authors work within the following context. They consider two Hilbert spaces \((V,\langle\cdot,\cdot\rangle_V)\) and \((H,\langle\cdot,\cdot\rangle)\) with the induced norms \(\|\cdot\|_V\) and \(\|\cdot\|,\) respectively, and suppose that (HV) the embedding \(V\hookrightarrow H\) is dense and compact. They consider also a symmetric continuous bilinear form \(a(\cdot,\cdot)\) on \(V\times V\) such that (HA) \(\exists \gamma,\nu >0\) such that \(a(v,v)\geq\gamma \|v\|^2_V-\nu \|v\|^2\) for all \(v\in V\) . It is known that, under the hypotheses (HV) and (HA), there exists a sequence \((\psi_k,\mu_k)_{k\geq 1}\) of solutions to the elliptic eigenvalue problem (*) find \((\psi,\mu)\in V\times \mathbb R,\, \|\psi\|=1\) such that \(a(\psi,v)=\mu \langle \psi,v\rangle\) for all \(v\in V\), and such that the sequence \((\mu_k)\) is nondecreasing with \(\mu_k\to \infty\) and \((\psi_k)\) forms an orthonormal basis of \(H\). The paper is concerned with the calculation of the smallest eigenvalue \(\mu_1\) and of an associated \(H\)-normalized eigenvector. The authors propose two greedy algorithms for the solution of this problem -- \textit{Pure Rayleigh Algorithm} and \textit{Pure Residual Algorithm} -- and prove some convergence results for these algorithms. Some numerical test cases (as, e.g., the computation of the buckling modes of a microstructured plate) are included.



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