A rank-adaptive integrator for the dynamical low-rank approximation of matrix and tensor differential equations is presented. The fixed-rank integrator recently proposed by two of the authors is extended to allow for an adaptive choice of the rank, using subspaces that are generated by the integrator itself. The integrator first updates the evolving bases and then does a Galerkin step in the subspace generated by both the new and old bases, which is followed by rank truncation to a given tolerance. It is shown that the adaptive low-rank integrator retains the exactness, robustness and symmetry-preserving properties of the previously proposed fixed-rank integrator. Beyond that, up to the truncation tolerance, the rank-adaptive integrator preserves the norm when the differential equation does, it preserves the energy for Schrödinger equations and Hamiltonian systems, and it preserves the monotonic decrease of the functional in gradient flows. Numerical experiments illustrate the behaviour of the rank-adaptive integrator.
Keywordsdynamical low-rank approximation • rank adaptivity • structurepreserving integrator • matrix and tensor differential equations Mathematics Subject Classification (2000) 65L05 • 65L20 • 65L70 • 15A69
Uncertainty Quantification for nonlinear hyperbolic problems becomes a challenging task in the vicinity of shocks. Standard intrusive methods lead to oscillatory solutions and can result in non-hyperbolic moment systems. The intrusive polynomial moment (IPM) method guarantees hyperbolicity but comes at higher numerical costs. In this paper, we filter the gPC coefficients of the Stochastic Galerkin (SG) approximation, which allows a numerically cheap reduction of oscillations. The derived filter is based on Lasso regression which sets small gPC coefficients of high order to zero. We adaptively choose the filter strength to obtain a zero-valued highest order moment, which allows optimality of the corresponding optimization problem. The filtered SG method is tested for Burgers' and the Euler equations. Results show a reduction of oscillations at shocks, which leads to an improved approximation of expectation values and the variance compared to SG and IPM.
Using standard intrusive techniques when solving hyperbolic conservation laws with uncertainties can lead to oscillatory solutions as well as nonhyperbolic moment systems. The Intrusive Polynomial Moment (IPM) method ensures hyperbolicity of the moment system while restricting oscillatory over-and undershoots to specified bounds. In this contribution, we derive a second-order discretization of the IPM moment system which fulfills the maximum principle. This task is carried out by investigating violations of the specified bounds due to the errors from the numerical optimization required by the scheme. This analysis gives weaker conditions on the entropy that is used, allowing the choice of an entropy which enables choosing the exact minimal and maximal value of the initial condition as bounds. Solutions calculated with the derived scheme are nonoscillatory while fulfilling the maximum principle. The second-order accuracy of our scheme leads to significantly reduced numerical costs.
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