Low-rank tensor Krylov subspace methods for parametrized linear systems

We consider linear systems A(alpha)x(alpha) - b(alpha) depending on possibly many parameters alpha = (alpha(1), ... , alpha(p)). Solving these systems simultaneously for a standard discretization of the parameter range would require a computational effort growing drastically with the number of parameters. We show that a much lower computational effort can be achieved for sufficiently smooth parameter dependencies. For this purpose, computational methods are developed that benefit from the fact that x(alpha) can be well approximated by a tensor of low rank. In particular, low-rank tensor variants of short-recurrence Krylov subspace methods are presented. Numerical experiments for deterministic PDEs with parametrized coefficients and stochastic elliptic PDEs demonstrate the effectiveness of our approach.


Published in:
SIAM Journal on Matrix Analysis and Applications, 32, 4, 1288–1316
Year:
2011
Publisher:
Society for Industrial and Applied Mathematics
Keywords:
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 Record created 2011-05-05, last modified 2018-03-17

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