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  4. Preconditioned Low-Rank Riemannian Optimization For Linear Systems With Tensor Product Structure
 
research article

Preconditioned Low-Rank Riemannian Optimization For Linear Systems With Tensor Product Structure

Kressner, Daniel  
•
Steinlechner, Michael  
•
Vandereycken, Bart
2016
Siam Journal On Scientific Computing

The numerical solution of partial differential equations on high-dimensional domains gives rise to computationally challenging linear systems. When using standard discretization techniques, the size of the linear system grows exponentially with the number of dimensions, making the use of classic iterative solvers infeasible. During the last few years, low-rank tensor approaches have been developed that allow one to mitigate this curse of dimensionality by exploiting the underlying structure of the linear operator. In this work, we focus on tensors represented in the Tucker and tensor train formats. We propose two preconditioned gradient methods on the corresponding low-rank tensor manifolds: a Riemannian version of the preconditioned Richardson method as well as an approximate Newton scheme based on the Riemannian Hessian. For the latter, considerable attention is given to the efficient solution of the resulting Newton equation. In numerical experiments, we compare the efficiency of our Riemannian algorithms with other established tensor-based approaches such as a truncated preconditioned Richardson method and the alternating linear scheme. The results show that our approximate Riemannian Newton scheme is significantly faster in cases when the application of the linear operator is expensive.

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Type
research article
DOI
10.1137/15M1032909
Web of Science ID

WOS:000385283400005

Author(s)
Kressner, Daniel  
Steinlechner, Michael  
Vandereycken, Bart
Date Issued

2016

Publisher

Siam Publications

Published in
Siam Journal On Scientific Computing
Volume

38

Issue

4

Start page

A2018

End page

A2044

Subjects

tensors

•

tensor train

•

matrix product states

•

Riemannian optimization

•

low rank

•

high dimensionality

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANCHP  
Available on Infoscience
November 21, 2016
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/131312
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