A tensor approximation method based on ideal minimal residual formulations for the solution of high-dimensional problems

DOI10.1051/M2AN/2014019zbMATH Open1305.65011arXiv1304.6126OpenAlexW1965727018MaRDI QIDQ2936552FDOQ2936552

Authors: M. Billaud-Friess, A. Nouy, Olivier Zahm 

Publication date: 17 December 2014

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Abstract: In this paper, we propose a method for the approximation of the solution of high-dimensional weakly coercive problems formulated in tensor spaces using low-rank approximation formats. The method can be seen as a perturbation of a minimal residual method with residual norm corresponding to the error in a specified solution norm. We introduce and analyze an iterative algorithm that is able to provide a controlled approximation of the optimal approximation of the solution in a given low-rank subset, without any a priori information on this solution. We also introduce a weak greedy algorithm which uses this perturbed minimal residual method for the computation of successive greedy corrections in small tensor subsets. We prove its convergence under some conditions on the parameters of the algorithm. The residual norm can be designed such that the resulting low-rank approximations are quasi-optimal with respect to particular norms of interest, thus yielding to goal-oriented order reduction strategies for the approximation of high-dimensional problems. The proposed numerical method is applied to the solution of a stochastic partial differential equation which is discretized using standard Galerkin methods in tensor product spaces.

Full work available at URL: https://arxiv.org/abs/1304.6126

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zbMATH Keywords

convergencenumerical exampleslow-rank approximationalgorithmhigh-dimensional problemsGalerkin methodnonlinear approximationstochastic partial differential equationproper generalized decompositionminimal residualtensor product space

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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