Krylov approximation of linear ODEs with polynomial parameterization

DOI10.1137/15M1032831MaRDI QIDQ2806185zbMATH OpenFDO

Authors Antti Koskela, Elias Jarlebring, M. E. Hochstenbach

Publication date 17 May 2016

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.07507

zbMATH Keywords

convergencesparse matrixalgorithma posteriori error estimatesmatrix functionsmodel order reductionexponential integratorsKrylov methodsmatrix exponentialArnoldi's methodparameterized ordinary differential equationsFréchet derivatives

Mathematics Subject Classification ID

Linear ordinary differential equations and systems (34A30) 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)

Abstract: We propose a new numerical method to solve linear ordinary differential equations of the type $fracpartialupartialt(t,varepsilon)=A(varepsilon),u(t,varepsilon)$, where $A:mathbbCightarrowmathbb{C}^{nimesn}$ is a matrix polynomial with large and sparse matrix coefficients. The algorithm computes an explicit parameterization of approximations of $u(t,varepsilon)$ such that approximations for many different values of $varepsilon$ and $t$ can be obtained with a very small additional computational effort. The derivation of the algorithm is based on a reformulation of the parameterization as a linear parameter-free ordinary differential equation and on approximating the product of the matrix exponential and a vector with a Krylov method. The Krylov approximation is generated with Arnoldi's method and the structure of the coefficient matrix turns out to have an independence on the truncation parameter so that it can also be interpreted as Arnoldi's method applied to an infinite dimensional matrix. We prove the superlinear convergence of the algorithm and provide a posteriori error estimates to be used as termination criteria. The behavior of the algorithm is illustrated with examples stemming from spatial discretizations of partial differential equations.

Recommendations

• A Krylov projection method for systems of ODEs
• On Restart and Error Estimation for Krylov Approximation of $w=f(A)v$
• Spectral Methods for Parameterized Matrix Equations
• A block Krylov subspace time-exact solution method for linear ordinary differential equation systems.
• scientific article; zbMATH DE number 687693

Cites work

• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• scientific article; zbMATH DE number 2212009 (Why is no real title available?)
• A Chain Rule for Matrix Functions and Applications
• A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
• A linear eigenvalue algorithm for the nonlinear eigenvalue problem
• A survey of projection-based model reduction methods for parametric dynamical systems
• Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
• Computing the action of the matrix exponential, with an application to exponential integrators
• Derivatives of the matrix exponential and their computation
• Efficient Solution of Parabolic Equations by Krylov Approximation Methods
• Expokit
• Exponential Integrators for Large Systems of Differential Equations
• Exponential integrators
• Functions of Matrices
• Higher Order Fréchet Derivatives of Matrix Functions and the Level-2 Condition Number
• Normwise Scaling of Second Order Polynomial Matrices
• On Krylov Subspace Approximations to the Matrix Exponential Operator
• Optimal Scaling of Generalized and Polynomial Eigenvalue Problems
• Parameter estimation and optimum experimental design for differential equation models
• Peer Two-Step Methods with Embedded Sensitivity Approximation for Parameter-Dependent ODEs
• Using Krylov-Padé model order reduction for accelerating design optimization of structures and vibrations in the frequency domain

Describes a project that uses

Uses Software

• mftoolbox
• Eigtool
• Expokit

This page was built for publication: Krylov approximation of linear ODEs with polynomial parameterization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2806185)