Iterative methods based on soft thresholding of hierarchical tensors
hierarchical tensor formathigh-dimensional elliptic problemslow-rank tensor approximationsoft thresholding
Approximation by arbitrary nonlinear expressions; widths and entropy (41A46) Multidimensional problems (41A63) Numerical approximation and computational geometry (primarily algorithms) (65D99) Iterative numerical methods for linear systems (65F10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
The article presents a quasi-optimal alternative procedure to the very successful and largely used low-rank decomposition in order to provide a numerical approximation of high-dimensional problems, such as partial differential equations on high-dimensional domains. The technique is a variation to the truncation of the ranks of a hierarchical singular value decomposition, and it relies on soft thresholding of the singular values. It achieves similar good features in terms of complexity and quasi-optimality properties but it results to be non-expansive. The results apply to a broad class of fixed-point iterations on general contractive mappings even though the article focuses in particular on high-dimensional elliptic problems. The article contains a detailed discussion on the influence of the thresholding parameters on the approximated solution, and it proposes an algorithm to choose them while a test section illustrates, through the classic cases of a high-dimensional Poisson problem and a parametric diffusion problem, the effectiveness of the technique.
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