An unconventional robust integrator for dynamical low-rank approximation
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Publication:2114101
DOI10.1007/S10543-021-00873-0zbMATH Open1481.65068arXiv2010.02022OpenAlexW3161187945MaRDI QIDQ2114101FDOQ2114101
Gianluca Ceruti, Christian Lubich
Publication date: 14 March 2022
Published in: BIT (Search for Journal in Brave)
Abstract: We propose and analyse a numerical integrator that computes a low-rank approximation to large time-dependent matrices that are either given explicitly via their increments or are the unknown solution to a matrix differential equation. Furthermore, the integrator is extended to the approximation of time-dependent tensors by Tucker tensors of fixed multilinear rank. The proposed low-rank integrator is different from the known projector-splitting integrator for dynamical low-rank approximation, but it retains the important robustness to small singular values that has so far been known only for the projector-splitting integrator. The new integrator also offers some potential advantages over the projector-splitting integrator: It avoids the backward time integration substep of the projector-splitting integrator, which is a potentially unstable substep for dissipative problems. It offers more parallelism, and it preserves symmetry or anti-symmetry of the matrix or tensor when the differential equation does. Numerical experiments illustrate the behaviour of the proposed integrator.
Full work available at URL: https://arxiv.org/abs/2010.02022
dynamical low-rank approximationstructure-preserving integratormatrix and tensor differential equationsTucker tensor format
Multilinear algebra, tensor calculus (15A69) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical methods for low-rank matrix approximation; matrix compression (65F55)
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Cited In (36)
- A rank-adaptive robust integrator for dynamical low-rank approximation
- A sweep-based low-rank method for the discrete ordinate transport equation
- From low-rank retractions to dynamical low-rank approximation and back
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