Lars Grasedyck, Daniel Kressner, Christine Tobler
During the last years, low-rank tensor approximation has been established as a new tool in scientific computing to address large-scale linear and multilinear algebra problems, which would be intractable by classical techniques. This survey attempts to give a literature overview of current developments in this area, with an emphasis on function-related tensors.
Wolfgang Dahmen, Ronald DeVore, Lars Grasedyck et al.
A recurring theme in attempts to break the curse of dimensionality in the numerical approximations of solutions to high-dimensional partial differential equations (PDEs) is to employ some form of sparse tensor approximation. Unfortunately, there are only a few results that quantify the possible advantages of such an approach. This paper introduces a class $Σ_n$ of functions, which can be written as a sum of rank-one tensors using a total of at most $n$ parameters and then uses this notion of sparsity to prove a regularity theorem for certain high-dimensional elliptic PDEs. It is shown, among other results, that whenever the right-hand side $f$ of the elliptic PDE can be approximated with a certain rate $\mathcal{O}(n^{-r})$ in the norm of ${\mathrm H}^{-1}$ by elements of $Σ_n$, then the solution $u$ can be approximated in ${\mathrm H}^1$ from $Σ_n$ to accuracy $\mathcal{O}(n^{-r'})$ for any $r'\in (0,r)$. Since these results require knowledge of the eigenbasis of the elliptic operator considered, we propose a second "basis-free" model of tensor sparsity and prove a regularity theorem for this second sparsity model as well. We then proceed to address the important question of the extent such regularity theorems translate into results on computational complexity. It is shown how this second model can be used to derive computational algorithms with performance that breaks the curse of dimensionality on certain model high-dimensional elliptic PDEs with tensor-sparse data.
Lars Grasedyck, Christian Löbbert
We consider tensors in the Hierarchical Tucker format and suppose the tensor data to be distributed among several compute nodes. We assume the compute nodes to be in a one-to-one correspondence with the nodes of the Hierarchical Tucker format such that connected nodes can communicate with each other. An appropriate tree structure in the Hierarchical Tucker format then allows for the parallelization of basic arithmetic operations between tensors with a parallel runtime which grows like $\log(d)$, where $d$ is the tensor dimension. We introduce parallel algorithms for several tensor operations, some of which can be applied to solve linear equations $\mathcal{A}X=B$ directly in the Hierarchical Tucker format using iterative methods like conjugate gradients or multigrid. We present weak scaling studies, which provide evidence that the runtime of our algorithms indeed grows like $\log(d)$. Furthermore, we present numerical experiments in which we apply our algorithms to solve a parameter-dependent diffusion equation in the Hierarchical Tucker format by means of a multigrid algorithm.
Kevin Rupp, Rudolf Schill, Jonas Süskind et al.
Motivation: We consider continuous-time Markov chains that describe the stochastic evolution of a dynamical system by a transition-rate matrix $Q$ which depends on a parameter $θ$. Computing the probability distribution over states at time $t$ requires the matrix exponential $\exp(tQ)$, and inferring $θ$ from data requires its derivative $\partial\exp\!(tQ)/\partialθ$. Both are challenging to compute when the state space and hence the size of $Q$ is huge. This can happen when the state space consists of all combinations of the values of several interacting discrete variables. Often it is even impossible to store $Q$. However, when $Q$ can be written as a sum of tensor products, computing $\exp(tQ)$ becomes feasible by the uniformization method, which does not require explicit storage of $Q$. Results: Here we provide an analogous algorithm for computing $\partial\exp\!(tQ)/\partialθ$, the differentiated uniformization method. We demonstrate our algorithm for the stochastic SIR model of epidemic spread, for which we show that $Q$ can be written as a sum of tensor products. We estimate monthly infection and recovery rates during the first wave of the COVID-19 pandemic in Austria and quantify their uncertainty in a full Bayesian analysis. Availability: Implementation and data are available at https://github.com/spang-lab/TenSIR.
Lars Grasedyck, Sebastian Krämer
Low rank tensor completion is a highly ill-posed inverse problem, particularly when the data model is not accurate, and some sort of regularization is required in order to solve it. In this article we focus on the calibration of the data model. For alternating optimization, we observe that existing rank adaption methods do not enable a continuous transition between manifolds of different ranks. We denote this characteristic as $\textit{instability (under truncation)}$. As a consequence of this property, arbitrarily small changes in the iterate can have arbitrarily large influence on the further reconstruction. We therefore introduce a singular value based regularization to the standard alternating least squares (ALS), which is motivated by averaging in microsteps. We prove its $\textit{stability}$ and derive a natural semi-implicit rank adaption strategy. We further prove that the standard ALS microsteps for completion problems are only stable on manifolds of fixed ranks, and only around points that have what we define as $\textit{internal tensor restricted isometry property, iTRIP}$. In conclusion, numerical experiments are provided that show improvements of the reconstruction quality up to orders of magnitude in the new Stable ALS Approximation (SALSA) compared to standard ALS and the well known Riemannian optimization RTTC.
Lars Grasedyck, Melanie Kluge, Sebastian Krämer
We consider the problem of fitting a low rank tensor $A\in\mathbb{R}^{\mathcal I}$, ${\mathcal I} = \{1,\ldots,n\}^{d}$, to a given set of data points $\{M_i\in\mathbb{R}\mid i\in P\}$, $P\subset{\mathcal I}$. The low rank format under consideration is the hierarchical or TT or MPS format. It is characterized by rank bounds $r$ on certain matricizations of the tensor. The number of degrees of freedom is in ${\cal O}(r^2dn)$. For a fixed rank and mode size $n$ we observe that it is possible to reconstruct random (but rank structured) tensors as well as certain discretized multivariate (but rank structured) functions from a number of samples that is in ${\cal O}(\log N)$ for a tensor having $N=n^d$ entries. We compare an alternating least squares fit (ALS) to an overrelaxation scheme inspired by the LMaFit method for matrix completion. Both approaches aim at finding a tensor $A$ that fulfils the first order optimality conditions by a nonlinear Gauss-Seidel type solver that consists of an alternating fit cycling through the directions $μ=1,\ldots,d$. The least squares fit is of complexity ${\cal O}(r^4d\#P)$ per step, whereas each step of ADF is in ${\cal O}(r^2d\#P)$, albeit with a slightly higher number of necessary steps. In the numerical experiments we observe robustness of the completion algorithm with respect to noise and good reconstruction capability. Our tests provide evidence that the algorithm is suitable in higher dimension ($>$10) as well as for moderate ranks. Keywords: MPS, Tensor Completion, Tensor Train, TT, Hierarchical Tucker, HT, ALS.
Lars Grasedyck, Lu Wang, Jinchao Xu
In this paper, we develop a multigrid method on unstructured shape-regular grids. For a general shape-regular unstructured grid of ${\cal O}(N)$ elements, we present a construction of an auxiliary coarse grid hierarchy on which a geometric multigrid method can be applied together with a smoothing on the original grid by using the auxiliary space preconditioning technique. Such a construction is realized by a cluster tree which can be obtained in ${\cal O}(N\log N)$ operations for a grid of $N$ elements. This tree structure in turn is used for the definition of the grid hierarchy from coarse to fine. For the constructed grid hierarchy we prove that the convergence rate of the multigrid preconditioned CG for an elliptic PDE is $1 - {\cal O}({1}/{\log N})$. Numerical experiments confirm the theoretical bounds and show that the total complexity is in ${\cal O}(N\log N)$.