Low-rank solution methods for stochastic eigenvalue problems
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Publication:5230664
DOI10.1137/18M122100XzbMATH Open1420.65046arXiv1803.03717OpenAlexW2969984443MaRDI QIDQ5230664FDOQ5230664
Authors: Tengfei Su, Howard C. Elman 
Publication date: 28 August 2019
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Abstract: We study efficient solution methods for stochastic eigenvalue problems arising from discretization of self-adjoint partial differential equations with random data. With the stochastic Galerkin approach, the solutions are represented as generalized polynomial chaos expansions. A low-rank variant of the inverse subspace iteration algorithm is presented for computing one or several minimal eigenvalues and corresponding eigenvectors of parameter-dependent matrices. In the algorithm, the iterates are approximated by low-rank matrices, which leads to significant cost savings. The algorithm is tested on two benchmark problems, a stochastic diffusion problem with some poorly separated eigenvalues, and an operator derived from a discrete stochastic Stokes problem whose minimal eigenvalue is related to the inf-sup stability constant. Numerical experiments show that the low-rank algorithm produces accurate solutions compared to the Monte Carlo method, and it uses much less computational time than the original algorithm without low-rank approximation.
Full work available at URL: https://arxiv.org/abs/1803.03717
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Numerical computation of eigenvalues and eigenvectors of matrices (65F15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Numerical solutions to inverse eigenvalue problems (65F18)
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