In this paper we address the question of whether it is possible to integrate time-dependent high-dimensional PDEs with hierarchical tensor methods and explicit time stepping schemes. To this end, we develop sufficient conditions for stability and convergence of tensor solutions evolving on tensor manifolds with constant rank. We also argue that the applicability of PDE solvers with explicit time-stepping may be limited by time-step restriction dependent on the dimension of the problem. Numerical applications are presented and discussed for variable coefficients linear hyperbolic and parabolic PDEs.
A novel compressed matrix format is proposed that combines an adaptive hierarchical partitioning of the matrix with low-rank approximation. One typical application is the approximation of discretized functions on rectangular domains; the flexibility of the format makes it possible to deal with functions that feature singularities in small, localized regions. To deal with time evolution and relocation of singularities, the partitioning can be dynamically adjusted based on features of the underlying data. Our format can be leveraged to efficiently solve linear systems with Kronecker product stru…
In this paper, we propose different algorithms for the solution of a tensor linear discrete ill-posed problem arising in the application of the meshless method for solving PDEs in three-dimensional space using multiquadric radial basis functions. It is well known that the truncated singular value decomposition (TSVD) is the most common effective solver for ill-conditioned systems, but unfortunately the operation count for solving a linear system with the TSVD is computationally expensive for large-scale matrices. In the present work, we propose algorithms based on the use of the well known Ein…
We present a new surrogate modeling technique for efficient approximation of input-output maps governed by parametrized PDEs. The model is hierarchical as it is built on a full order model (FOM), reduced order model (ROM) and machine-learning (ML) model chain. The model is adaptive in the sense that the ROM and ML model are adapted on-the-fly during a sequence of parametric requests to the model. To allow for a certification of the model hierarchy, as well as to control the adaptation process, we employ rigorous a posteriori error estimates for the ROM and ML models. In particular, we provide …
A finite element approach for vector- and tensor-valued surface PDEs
Technische Universität Dresden（德累斯顿工业大学）；Institut für Wissenschaftliches Rechnen, Technische Universität Dresden（德累斯顿大学科学计算研究所）；Dresden Center for Computational Materials Science (DCMS), Technische Universität Dresden（德累斯顿计算材料科学中心）；Center for Systems Biology Dresden (CSBD)（德累斯顿系统生物学中心）
Hessian operators arising in inverse problems governed by partial differential equations (PDEs) play a critical role in delivering efficient, dimension-independent convergence for both Newton solution of deterministic inverse problems, as well as Markov chain Monte Carlo sampling of posteriors in the Bayesian setting. These methods require the ability to repeatedly perform such operations on the Hessian as multiplication with arbitrary vectors, solving linear systems, inversion, and (inverse) square root. Unfortunately, the Hessian is a (formally) dense, implicitly-defined operator that is int…
Failure probability evaluation for complex physical and engineering systems governed by partial differential equations (PDEs) are computationally intensive, especially when high-dimensional random parameters are involved. Since standard numerical schemes for solving these complex PDEs are expensive, traditional Monte Carlo methods which require repeatedly solving PDEs are infeasible. Alternative approaches which are typically the surrogate based methods suffer from the so-called ``curse of dimensionality'', which limits their application to problems with high-dimensional parameters. For this p…
Folding grid value vectors of size $2^L$ into $L$th order tensors of mode sizes $2\times \cdots\times 2$, combined with low-rank representation in the tensor train format, has been shown to lead to highly efficient approximations for various classes of functions. These include solutions of elliptic PDEs on nonsmooth domains or with oscillatory data. This tensor-structured approach is attractive because it leads to highly compressed, adaptive approximations based on simple discretizations. Standard choices of the underlying basis, such as piecewise multilinear finite elements on uniform tensor …
We present a new rank-adaptive tensor method to compute the numerical solution of high-dimensional nonlinear PDEs. The method combines functional tensor train (FTT) series expansions, operator splitting time integration, and a new rank-adaptive algorithm based on a thresholding criterion that limits the component of the PDE velocity vector normal to the FTT tensor manifold. This yields a scheme that can add or remove tensor modes adaptively from the PDE solution as time integration proceeds. The new method is designed to improve computational efficiency, accuracy and robustness in numerical in…
We present a new method based on functional tensor decomposition and dynamic tensor approximation to compute the solution of a high-dimensional time-dependent nonlinear partial differential equation (PDE). The idea of dynamic approximation is to project the time derivative of the PDE solution onto the tangent space of a low-rank functional tensor manifold at each time. Such a projection can be computed by minimizing a convex energy functional over the tangent space. This minimization problem yields the unique optimal velocity vector that allows us to integrate the PDE forward in time on a tens…
We develop new dynamically orthogonal tensor methods to approximate multivariate functions and the solution of high-dimensional time-dependent nonlinear partial differential equations (PDEs). The key idea relies on a hierarchical decomposition of the approximation space obtained by splitting the independent variables of the problem into disjoint subsets. This process, which can be conveniently be visualized in terms of binary trees, yields series expansions analogous to the classical Tensor-Train and Hierarchical Tucker tensor formats. By enforcing dynamic orthogonality conditions at each leve…
When working with PDEs the reconstruction of a previous state often proves difficult. Good prior knowledge and fast computational methods are crucial to build a working reconstruction. We want to identify the heat sources on a three dimensional domain from later measurements under the assumption of small, distinct sources, such as hot chippings from a milling tool. This leads us to the need for a Prior reflecting this a priori information. Sparsity-inducing hyperpriors have proven useful for similar problems with sparse signal or image reconstruction. We combine the method of using a hierarchi…
This paper presents a methodology to construct a divergence-free polynomial basis of an arbitrary degree in a simplex (triangles in 2D and tetrahedra in 3D) of arbitrary dimension. It allows for fast computation of all numerical solutions from degree zero to a specified degree \textit{k} for certain PDEs. The generated divergence-free basis is orthonormal, hierarchical, and robust in finite-precision arithmetic. At the core is an Arnoldi-based procedure. It constructs an orthonormal and hierarchical basis for multi-dimensional polynomials of degree less than or equal to \textit{k}. The diverge…
Elliptic partial differential equations (PDEs) arise in many areas of computational sciences such as computational fluid dynamics, biophysics, engineering, geophysics and more. They are difficult to solve due to their global nature and sometimes ill-conditioned operators. We review common discretization methods for elliptic PDEs such as the finite difference, finite volume, finite element, and spectral methods and the linear systems they form. We also provide an overview of classic to modern solution methods for the linear systems formed by these discretization methods. These methods include s…
Freie Universität Berlin（柏林自由大学）；BTU Cottbus-Senftenberg（科特布斯-森夫滕贝格勃兰登堡工业大学）；dida Datenschmiede GmbH（dida数据锻造有限公司）；Technische Universität Berlin（柏林工业大学）；Universität Potsdam（波茨坦大学）
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since traditional grid-based methods tend to be frustrated by the curse of dimensionality. In this paper, we argue that tensor trains provide an appealing approximation framework for parabolic PDEs: the combination of reformulations in terms of backward stochastic differential equations and regression-type methods in the tensor format holds the promise of leveraging latent low-rank structures enabling both compression and ef…
We derive rank bounds on the quantized tensor train (QTT) compressed approximation of singularly perturbed reaction diffusion partial differential equations (PDEs) in one dimension. Specifically, we show that, independently of the scale of the singular perturbation parameter, a numerical solution with accuracy $0<ε<1$ can be represented in QTT format with a number of parameters that depends only polylogarithmically on $ε$. In other words, QTT compressed solutions converge exponentially to the exact solution, with respect to a root of the number of parameters. We also verify the rank bound esti…
HiLNO: A Hierarchical Latent Neural Operator with Multi-Scale Supervision for PDEs on General Geometries
School of Mathematics, Nanjing University of Aeronautics and Astronautics（南京航空航天大学数学学院）；Key Laboratory of Mathematical Modelling and High Performance Computing of Air Vehicles (NUAA), MIIT（工业和信息化部南京航空航天大学数学建模与高性能计算重点实验室（NUAA））；School of Mathematics and Information Sciences, Yantai University（烟台大学数学与信息科学学院）
Tensor completion can estimate missing values of a high-order data from its partially observed entries. Recent works show that low rank tensor ring approximation is one of the most powerful tools to solve tensor completion problem. However, existing algorithms need predefined tensor ring rank which may be hard to determine in practice. To address the issue, we propose a hierarchical tensor ring decomposition for more compact representation. We use the standard tensor ring to decompose a tensor into several 3-order sub-tensors in the first layer, and each sub-tensor is further factorized by ten…
A fast direct solver based neural network for solving PDEs
Department of Computer Science & Engineering, International Institute of Information Technology Bangalore (IIIT-B), India（计算机科学与工程系，国际信息学院班加罗尔（IIIT-B），印度）；Department of Data Science and Artificial Intelligence, International Institute of Information Technology Bangalore (IIIT-B), India（数据科学与人工智能系，国际信息学院班加罗尔（IIIT-B），印度）
The recent low-rank prior based models solve the tensor completion problem efficiently. However, these models fail to exploit the local patterns of tensors, which compromises the performance of tensor completion. In this paper, we propose a novel hierarchical prior regularized matrix factorization model for tensor completion. This model hierarchically incorporates the low-rank prior, total variation prior, and sparse coding prior into a matrix factorization, simultaneously characterizing both the global low-rank property and the local smoothness of tensors. For solving the proposed model, we u…
A quantum-inspired multi-level tensor-train monolithic space-time method for nonlinear PDEs
Khalifa University of Science and Technology（哈利法科学技术大学）；Technology Innovation Institute（技术创新研究所）；Emirates Nuclear Energy Company（阿联酋核能公司）；Emirates Nuclear Technology Center（阿联酋核技术中心）
In this article we introduce a procedure, which allows to recover the potentially very good approximation properties of tensor-based model reduction procedures for the solution of partial differential equations in the presence of interfaces or strong gradients in the solution which are skewed with respect to the coordinate axes. The two key ideas are the location of the interface either by solving a lower-dimensional partial differential equation or by using data functions and the subsequent removal of the interface of the solution by choosing the determined interface as the lifting function o…
Time-dependent Partial Differential Equations with given initial conditions are considered in this paper. New differentiation techniques of the unknown solution with respect to time variable are proposed. It is shown that the proposed techniques allow to generate accurate higher order derivatives simultaneously for a set of spatial points. The calculated derivatives can then be used for data-driven solution in different ways. An application for Physics Informed Neural Networks by the well-known DeepXDE software solution in Python under Tensorflow background framework has been presented for thr…
We present weighted quadrature for hierarchical B-splines to address the fast formation of system matrices arising from adaptive isogeometric Galerkin methods with suitably graded hierarchical meshes. By exploiting a local tensor-product structure, we extend the construction of weighted rules from the tensor-product to the hierarchical spline setting. The proposed algorithm has a computational cost proportional to the number of degrees of freedom and advantageous properties with increasing spline degree. To illustrate the performance of the method and confirm the theoretical estimates, a selec…
Generative Modeling via Hierarchical Tensor Sketching
Committee on Computational and Applied Mathematics, University of Chicago（计算与应用数学委员会，芝加哥大学）；Center for Computational Quantum Physics, Flatiron Institute（计算量子物理中心，Flatiron研究所）；Department of Statistics, University of Chicago（统计学系，芝加哥大学）
An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the "curse of dimensionality" can be alleviated for the computation of Bermudan option prices with the Monte Carlo least-squares approach as well as the dual martingale method, both using high-dimensional tensorized polynomial expansions. This discretization allows for a simple and computationally cheap evaluation of conditional expectations. Complexity estimates are provided as well as a description of the optimization procedures in the tensor train format. Numeri…
For linear parabolic initial-boundary value problems with self-adjoint, time-homogeneous elliptic spatial operator in divergence form with Lipschitz-continuous coefficients, and for incompatible, time-analytic forcing term in polygonal/polyhedral domains $D$, we prove time-analyticity of solutions. Temporal analyticity is quantified in terms of weighted, analytic function classes, for data with finite, low spatial regularity and without boundary compatibility. Leveraging this result, we prove exponential convergence of a conforming, semi-discrete $hp$-time-stepping approach. We combine this se…
