Tensor-structured Galerkin approximation of parametric and stochastic elliptic PDEs

Abstract

We investigate the convergence rate of approximations by finite sums of rank-1 tensors of solutions of multiparametric elliptic PDEs. Such PDEs arise, for example, in the parametric, deterministic reformulation of elliptic PDEs with random field inputs, based, for example, on the $M$-term truncated Karhunen-Loeve expansion. Our approach could be regarded as either a class of compressed approximations of these solutions or as a new class of iterative elliptic problem solvers for high-dimensional, parametric, elliptic PDEs providing linear scaling complexity in the dimension $M$ of the parameter space. It is based on rank-reduced, tensor-formatted separable approximations of the high-dimensional tensors and matrices involved in the iterative process, combined with the use of spectrally equivalent low-rank tensor-structured preconditioners to the parametric matrices resulting from a finite element discretization of the high-dimensional parametric, deterministic problems. Numerical illustrations for the $M$-dimensional parametric elliptic PDEs resulting from sPDEs on parameter spaces of dimensions $M\leq100$ indicate the advantages of employing low-rank tensor-structured matrix formats in the numerical solution of such problems.