Variational Formulation and Stability Properties of a Projector-Splitting Scheme for Dynamical Low Rank Approximation of Random Parabolic Equations

Eva Vidlickova (EPFL, Lausanne)

May 10. 2022, 10:30 — 11:20

Dynamical Low Rank (DLR) approximation for time-dependent problems with random parameters can be seen as a reduced basis method, in which the solution is expanded as a linear combination of few deterministic functions with random coefficients. The spatial basis is free to evolve in time, thus adjusting at each time to the current structure of the solution. In this talk we consider the DLR approximation of random parabolic equations and propose a class of fully discrete numerical schemes. Similarly to the continuous DLR approximation, our schemes are shown to satisfy a discrete variational formulation. By exploiting this property, we establish stability of our schemes: we show that our explicit and semi-implicit versions are conditionally stable under a parabolic type CFL condition which does not depend on the smallest singular value of the DLR solution; whereas our implicit scheme is unconditionally stable. Moreover, we show that, in certain cases, the semi-implicit scheme can be unconditionally stable if the randomness in the system is sufficiently small. Furthermore, we show that these schemes can be interpreted as projector-splitting integrators and are strongly related to the scheme proposed in [C. Lubich, I. V. Oseledets: A projector-splitting integrator for dynamical low-rank approximation. Bit Numer Math, 2014], to which our stability analysis applies as well. The analysis is supported by numerical results showing the sharpness of the obtained stability conditions.

Further Information
ESI Boltzmann Lecture Hall
Associated Event:
Computational Uncertainty Quantification: Mathematical Foundations, Methodology & Data (Thematic Programme)
Clemens Heitzinger (TU Vienna)
Fabio Nobile (EPFL, Lausanne)
Robert Scheichl (U Heidelberg)
Christoph Schwab (ETH Zurich)
Sara van de Geer (ETH Zurich)
Karen Willcox (U of Texas, Austin)