Direct tensor-product solution of one-dimensional elliptic equations with parameter-dependent coefficients

Sergey V. Dolgov, Vladimir A. Kazeev, Boris N. Khoromskij

Research output: Contribution to journalArticle

1 Citation (Scopus)
14 Downloads (Pure)

Abstract

We consider a one-dimensional second-order elliptic equation with a high-dimensional parameter in a hypercube as a parametric domain. Such a problem arises, for example, from the Karhunen–Loève expansion of a stochastic PDE posed in a one-dimensional physical domain. For the discretization in the parametric domain we use the collocation on a tensor-product grid. The paper is focused on the tensor-structured solution of the resulting multiparametric problem, which allows to avoid the curse of dimensionality owing to the use of the separation of parametric variables in the tensor train and quantized tensor train formats. We suggest an efficient tensor-structured preconditioning of the entire multiparametric family of one-dimensional elliptic problems and arrive at a direct solution formula. We compare this method to a tensor-structured preconditioned GMRES solver in a series of numerical experiments.

Original languageEnglish
Pages (from-to)136-155
Number of pages20
JournalMathematics and Computers in Simulation
Volume145
Early online date27 Oct 2017
DOIs
Publication statusPublished - 1 Mar 2018

Keywords

  • Elliptic equations
  • Parametric problems
  • Preconditioning
  • Sherman–Morrison correction
  • Tensor formats

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)
  • Numerical Analysis
  • Modelling and Simulation
  • Applied Mathematics

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