Low-rank solution methods for stochastic eigenvalue problems
From MaRDI portal
Publication:5230664
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.
Recommendations
- A low-rank inexact Newton-Krylov method for stochastic eigenvalue problems
- Approximate methods for stochastic eigenvalue problems
- Inexact methods for symmetric stochastic eigenvalue problems
- A method for solving stochastic eigenvalue problems
- Inverse subspace iteration for spectral stochastic finite element methods
Cites work
- scientific article; zbMATH DE number 3155151 (Why is no real title available?)
- scientific article; zbMATH DE number 1138094 (Why is no real title available?)
- A Low-Rank Multigrid Method for the Stochastic Steady-State Diffusion Problem
- A low-rank inexact Newton-Krylov method for stochastic eigenvalue problems
- A preconditioned low-rank projection method with a rank-reduction scheme for stochastic partial differential equations
- A projection method to solve linear systems in tensor format
- A successive constraint linear optimization method for lower bounds of parametric coercivity and inf-sup stability constants
- Accelerating the orthogonal iteration for the eigenvectors of a Hermitian matrix
- Algorithm 847
- An optimal iterative solver for symmetric indefinite systems stemming from mixed approximation
- Approximate methods for stochastic eigenvalue problems
- Asymptotic convergence of spectral inverse iterations for stochastic eigenvalue problems
- Block-diagonal preconditioning for spectral stochastic finite-element systems
- Certified real‐time solution of the parametrized steady incompressible Navier–Stokes equations: rigorous reduced‐basis a posteriori error bounds
- Efficient characterization of the random eigenvalue problem in a polynomial chaos decomposition
- Finite elements and fast iterative solvers. With applications in incompressible fluid dynamics
- Implicit Application of Polynomial Filters in a k-Step Arnoldi Method
- Inexact inverse iteration for generalized eigenvalue problems
- Inexact inverse subspace iteration with preconditioning applied to non-Hermitian eigenvalue problems
- Inverse subspace iteration for spectral stochastic finite element methods
- Iterative solution of the random eigenvalue problem with application to spectral stochastic finite element systems
- Low-Rank Eigenvector Compression of Posterior Covariance Matrices for Linear Gaussian Inverse Problems
- Low-rank solution of unsteady diffusion equations with stochastic coefficients
- Low-rank solvers for unsteady Stokes-Brinkman optimal control problem with random data
- Low-rank tensor Krylov subspace methods for parametrized linear systems
- Matrix algorithms. Vol. 2: Eigensystems
- Modeling uncertainty in flow simulations via generalized polynomial chaos.
- Numerical Methods for Computing Angles Between Linear Subspaces
- Numerical integration using sparse grids
- Output bounds for reduced-basis approximations of symmetric positive definite eigenvalue problems
- Preconditioned low-rank methods for high-dimensional elliptic PDE eigenvalue problems
- Preconditioning steady-state Navier-Stokes equations with random data
- Reduced basis approximation and a posteriori error estimates for parametrized elliptic eigenvalue problems
- Simultaneous reduced basis approximation of parameterized elliptic eigenvalue problems
- Solution of linear systems in high spatial dimensions
- Sparse tensor approximation of parametric eigenvalue problems
- Stochastic Galerkin matrices
- Stochastic Galerkin methods for the steady-state Navier-Stokes equations
- Subspace acceleration for large-scale parameter-dependent Hermitian eigenproblems
- Toward the optimal preconditioned eigensolver: Locally optimal block preconditioned conjugate gradient method
Cited in
(14)- Polynomial (chaos) approximation of maximum eigenvalue functions. Efficiency and limitations
- scientific article; zbMATH DE number 6264106 (Why is no real title available?)
- Stochastic dynamical low-rank approximation method
- An efficient reduced‐order method for stochastic eigenvalue analysis
- Efficient stochastic modal decomposition methods for structural stochastic static and dynamic analyses
- Stochastic Galerkin Methods for Linear Stability Analysis of Systems with Parametric Uncertainty
- A method for solving stochastic eigenvalue problems
- Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods
- A low-rank inexact Newton-Krylov method for stochastic eigenvalue problems
- Enhanced alternating energy minimization methods for stochastic Galerkin matrix equations
- On Uncertainty Quantification of Eigenvalues and Eigenspaces with Higher Multiplicity
- Stochastic collocation method for computing eigenspaces of parameter-dependent operators
- Approximate methods for stochastic eigenvalue problems
- Inexact methods for symmetric stochastic eigenvalue problems
This page was built for publication: Low-rank solution methods for stochastic eigenvalue problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5230664)
