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 level of binary tree, we obtain coupled evolution equations for the modes spanning each subspace within the hierarchical decomposition. This allows us to effectively compute the solution to high-dimensional time-dependent nonlinear PDEs on tensor manifolds of constant rank, with no need for rank reduction methods. We also propose new algorithms for dynamic addition and removal of modes within each subspace. Numerical examples are presented and discussed for high-dimensional hyperbolic and parabolic PDEs in bounded domains.
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 integration of high-dimensional problems. In particular, it overcomes well-known computational challenges associated with dynamic tensor integration, including low-rank modeling errors and the need to invert covariance matrices of tensor cores at each time step. Numerical applications are presented and discussed for linear and nonlinear advection problems in two dimensions, and for a four-dimensional Fokker–Planck equation.
We present a rigorous convergence analysis for cylindrical approximations of nonlinear functionals, functional derivatives, and functional differential equations (FDEs). The purpose of this analysis is twofold: First, we prove that continuous nonlinear functionals, functional derivatives, and FDEs can be approximated uniformly on any compact subset of a real Banach space admitting a basis by high-dimensional multivariate functions and high-dimensional partial differential equations (PDEs), respectively. Second, we show that the convergence rate of such functional approximations can be exponential, depending on the regularity of the functional (in particular its Fréchet differentiability), and its domain. We also provide necessary and sufficient conditions for consistency, stability and convergence of cylindrical approximations to linear FDEs. These results open the possibility to utilize numerical techniques for high-dimensional systems such as deep neural networks and numerical tensor methods to approximate nonlinear functionals in terms of high-dimensional functions, and compute approximate solutions to FDEs by solving high-dimensional PDEs. Numerical examples are presented and discussed for prototype nonlinear functionals and for an initial value problem involving a linear FDE.
We develop new adaptive algorithms for temporal integration of nonlinear evolution equations on tensor manifolds. These algorithms, which we call step-truncation methods, are based on performing one time step with a conventional time-stepping scheme, followed by a truncation operation onto a tensor manifold. By selecting the rank of the tensor manifold adaptively to satisfy stability and accuracy requirements, we prove convergence of a wide range of step-truncation methods, including explicit one-step and multi-step methods. These methods are very easy to implement as they rely only on arithmetic operations between tensors, which can be performed by efficient and scalable parallel algorithms. Adaptive step-truncation methods can be used to compute numerical solutions of high-dimensional PDEs, which, have become central to many new areas of application such optimal mass transport, random dynamical systems, and mean field optimal control. Numerical applications are presented and discussed for a Fokker-Planck equation with spatially dependent drift on a flat torus of dimension two and four.
We present a new rank-adaptive tensor method to compute the numerical solution of high-dimensional nonlinear PDEs. The new 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 algorithm is designed to improve computational efficiency, accuracy and robustness in numerical integration of high-dimensional problems. In particular, it overcomes wellknown computational challenges associated with dynamic tensor integration, including low-rank modeling errors and the need to invert the covariance matrix of the tensor cores at each time step. Numerical applications are presented and discussed for linear and nonlinear advection problems in two dimensions, and for a four-dimensional Fokker-Planck equation.
We develop a new class of algorithms, which we call step-truncation methods, to integrate in time an initial value problem for an ODE or a PDE on a low-rank tensor manifold. The new methods are based on performing a time step with a conventional time-stepping scheme followed by a truncation operation into a tensor manifold with prescribed rank. By considering such truncation operation as a nonlinear operator in the space of tensors, we prove various consistency results and errors estimates for a wide range of step-truncation algorithms. In particular, we establish consistency between the best step-truncation method and the best tangent space projection integrator via perturbation analysis. Numerical applications are presented and discussed for a Fokker-Planck equation on a torus of dimension two and four.
Recently, there has been a growing interest in efficient numerical algorithms based on tensor networks and low-rank techniques to approximate high-dimensional functions and the numerical solution to highdimensional PDEs. In this paper, we propose a new tensor rank reduction method that leverages coordinate flows and can greatly increase the efficiency of high-dimensional tensor approximation algorithms. The idea is very simple: given a multivariate function, determine a coordinate transformation so that the function in the new coordinate system has smaller tensor rank. We restrict our analysis to linear coordinate transformations, which give rise to a new class of functions that we refer to as tensor ridge functions. By leveraging coordinate flows and tensor ridge functions, we develop an optimization method based on Riemannian gradient descent for determining a quasi-optimal linear coordinate transformation for tensor rank reduction. The theoretical results we present for rank reduction via linear coordinate transformations can be generalized to larger classes of nonlinear transformations. We demonstrate the effectiveness of the proposed new tensor rank reduction method on prototype function approximation problems, and in computing the numerical solution of the Liouville equation in dimensions three and five.
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