Volume 72, Numbers 3-4, 247-265, DOI: 10.1007/s00607-003-0037-z

Existence and Computation of Low Kronecker-Rank Approximations for Large Linear Systems of Tensor Product Structure

L. Grasedyck

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Abstract

In this paper we construct an approximation to the solution x of a linear system of equations Ax=b of tensor product structure as it typically arises for finite element and finite difference discretisations of partial differential operators on tensor grids. For a right-hand side b of tensor product structure we can prove that the solution x can be approximated by a sum of MediaObjects/s00607-003-0037-zflb1.gif(log(epsiv)2) tensor product vectors where epsiv is the relative approximation error. Numerical examples for systems of size 1024256 indicate that this method is suitable for high-dimensional problems.

Keywords  Data-sparse approximation - Sylvester equation - low rank approximation - Kronecker product - high-dimensional problems

AMS Subject Classification  65F05 - 65F30 - 65F50

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