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Preconditioned low-rank methods for high-dimensional elliptic PDE eigenvalue problems

by D. Kressner and Ch. Tobler

(Report number 2011-48)

Abstract
We consider elliptic PDE eigenvalue problems on a tensorized domain, discretized such that the resulting matrix eigenvalue problem $Ax = \lambda x$ exhibits Kronecker product structure. In particular, we are concerned with the case of high dimensions, where standard approaches to the solution of matrix eigenvalue problems fail due to the exponentially growing degrees of freedom. Recent work shows that this curse of dimensionality can in many cases be addressed by approximating the desired solution vector $x$ in a low-rank tensor format. In this paper, we use the hierarchical Tucker decomposition to develop a low-rank variant of LOBPCG, a classical preconditioned eigenvalue solver. We also show how the ALS and MALS (DMRG) methods known from computational quantum physics can be adapted to the hierarchical Tucker decomposition. Finally, a combination of ALS and MALS with LOBPCG and with our low-rank variant is proposed. A number of numerical experiments indicate that such combinations represent the methods of choice.

Keywords:

@Techreport{KT11_131,
  author = {D. Kressner and Ch. Tobler},
  title = {Preconditioned low-rank methods for high-dimensional elliptic PDE eigenvalue problems},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2011-48},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2011/2011-48.pdf },
  year = {2011}
}

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