Tensor Approach to Optimal Control problems with Fractional Elliptic - - PowerPoint PPT Presentation

tensor approach to optimal control problems with
SMART_READER_LITE
LIVE PREVIEW

Tensor Approach to Optimal Control problems with Fractional Elliptic - - PowerPoint PPT Presentation

Tensor Approach to Optimal Control problems with Fractional Elliptic Operator Volker Schulz Gennadij Heidel Britta Schmitt www.alop.uni-trier.de Boris Khoromskij / Venera Khoromskaia (MPI Leipzig) Applications causing recent interest


slide-1
SLIDE 1

Tensor Approach to Optimal Control problems with Fractional Elliptic Operator

www.alop.uni-trier.de Volker Schulz Gennadij Heidel Britta Schmitt Boris Khoromskij / Venera Khoromskaia (MPI Leipzig)

slide-2
SLIDE 2

Applications causing recent interest

Application fields of fractional operators: viscoelastics biophysics nonlocal electrostatics anomalous diffusion heat equation in plasmonic nanostructure networks/composite materials ...

2 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-3
SLIDE 3

An optimal control problem

Given a function yΩ ∈ L2(Ω) on Ω := (0, 1)d, we consider the

  • ptimization problem

min

y,u J(y, u) :=

(y(x) − yΩ(x))2 dx + γ 2

u2(x) dx

  • s. t. − ∆y = βu

y, u ∈ H1

0(Ω)

3 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-4
SLIDE 4

An optimal control problem

Given a function yΩ ∈ L2(Ω) on Ω := (0, 1)d, we consider the

  • ptimization problem

min

y,u J(y, u) :=

(y(x) − yΩ(x))2 dx + γ 2

u2(x) dx

  • s. t. Aαy = βu

where Aα is the spectral fractional Laplacian operator for some α ∈ (0, 1).

3 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-5
SLIDE 5

The KKT system

  id Aα γid −βid Aα −βid     y u p   =   yΩ   ⇒ (βA−α + γ

βAα)u = yΩ

⇒ p = γ

βu

⇒ y = βA−αu Thus, we find the following necessary optimality conditions: u =

  • βA−α + γ

βAα−1yΩ

for the control u, and y = βA−αu =

  • I + γ

β2 A2α−1yΩ

for the state y.

4 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-6
SLIDE 6

The KKT system

  id Aα γid −βid Aα −βid     y u p   =   yΩ   ⇒ (βA−α + γ

βAα)u = yΩ

⇒ p = γ

βu

⇒ y = βA−αu Thus, we find the following necessary optimality conditions: u =

  • βA−α + γ

βAα−1yΩ

for the control u, and y = βA−αu =

  • I + γ

β2 A2α−1yΩ

for the state y.

4 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-7
SLIDE 7

The KKT system

  id Aα γid −βid Aα −βid     y u p   =   yΩ   ⇒ (βA−α + γ

βAα)u = yΩ

⇒ p = γ

βu

⇒ y = βA−αu Thus, we find the following necessary optimality conditions: u =

  • βA−α + γ

βAα−1yΩ

for the control u, and y = βA−αu =

  • I + γ

β2 A2α−1yΩ

for the state y.

4 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-8
SLIDE 8

The KKT system

  id Aα γid −βid Aα −βid     y u p   =   yΩ   ⇒ (βA−α + γ

βAα)u = yΩ

⇒ p = γ

βu

⇒ y = βA−αu Thus, we find the following necessary optimality conditions: u =

  • βA−α + γ

βAα−1

  • G1

yΩ for the control u, and y = β A−α

  • G3

u =

  • I + γ

β2 A2α−1

  • G2

yΩ for the state y.

5 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-9
SLIDE 9

The spectral fractional Laplacian

Let Ω ∈ ❘d be a bounded Lipschitz domain, and let λk and ek be the eigenvalues and the corresponding eigenfunctions of the Laplacian, i. e. −∆ek = λkek in Ω, ek = 0

  • n ∂Ω,

and the functions ek are an orthonormal basis of L2(Ω). Then, for α ∈ [0, 1] and a function g ∈ H1

0(Ω)

g =

  • k=1

akek, we consider the operator Aαg =

  • k=1

akλα

k ek.

6 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-10
SLIDE 10

The Riesz fractional Laplacian

For α ∈ (0, 1), the fractional Laplacian (−∆)α of a function g : ❘d → ❘ at a point x ∈ ❘d is defined by (−∆)αg(x) := Cd,α

  • ❘d

g(x) − g(y) x − yd+2α dy. coincides with Aα on ❘d, cf. details in: Lischke et al. (2018, arXiv:1801.09767) leads to multilevel Toeplitz structures on tensor grids (Ch. Vollmann, V. Schulz, CVS 2019)

7 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-11
SLIDE 11

The Riesz fractional Laplacian

For α ∈ (0, 1), the fractional Laplacian (−∆)α of a function g : ❘d → ❘ at a point x ∈ ❘d is defined by (−∆)αg(x) := Cd,α

  • ❘d

g(x) − g(y) x − yd+2α dy. coincides with Aα on ❘d, cf. details in: Lischke et al. (2018, arXiv:1801.09767) leads to multilevel Toeplitz structures on tensor grids (Ch. Vollmann, V. Schulz, CVS 2019)

7 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-12
SLIDE 12

General nonlocal operator

Lφg(x) =

g(x)φ(x, y) − g(y)φ(y, x)dy nonlocal calculus developed by Max Gunzburger et. al. unstructured discretization and shape optimization discussed in

  • Ch. Vollmann: Nonlocal Models with Truncated Interaction

Kernels– Analysis, Finite Element Methods and Shape Optimization, PhD dissertation Trier University, 2019

  • V. Schulz, Ch. Vollmann: Shape optimization for interface

identification in nonlocal models, arXiv:1909.08884, 2019

→ more details in 2nd RICAM workshop in two weeks...

8 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-13
SLIDE 13

Example of nonlocal shape numerics

9 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-14
SLIDE 14

A tale of two fractional Laplacians

On a bounded domain, the operators are different.

Theorem, Servadei/Valdinoci (2014)

The operators Aα and (−∆)α are not the same, since they have different eigenvalues and eigenfunctions (with respect to Dirichlet boundary conditions). In particular, the first eigenvalues of (−∆)α is strictly less than that of Aα the eigenfunctions of (−∆)α are only H¨

  • lder continuous up to

the boundary, in contrast with those of Aα, which are as smooth up to the boundary as the boundary allows. Lischke et al. (2018, arXiv:1801.09767): Numerical tests for the error between Aα and (−∆)α.

10 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-15
SLIDE 15

A tale of two fractional Laplacians

On a bounded domain, the operators are different.

Theorem, Servadei/Valdinoci (2014)

The operators Aα and (−∆)α are not the same, since they have different eigenvalues and eigenfunctions (with respect to Dirichlet boundary conditions). In particular, the first eigenvalues of (−∆)α is strictly less than that of Aα the eigenfunctions of (−∆)α are only H¨

  • lder continuous up to

the boundary, in contrast with those of Aα, which are as smooth up to the boundary as the boundary allows. Lischke et al. (2018, arXiv:1801.09767): Numerical tests for the error between Aα and (−∆)α.

10 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-16
SLIDE 16

Yet another fractional operator

RLβ := − RDβ1 x1 − RDβ2 x2 ,

β1, β2 ∈ (1, 2)

RDβi xi : 1D Riemann-Liouville derivative

This operator is considered in the related publications:

  • S. Dolgov, J. W. Pearson, D. V. Savostyanov, M. Stoll:Fast

tensor product solvers for optimization problems with fractional differential equations as constraints, Applied Mathematics and Computation, 2016

  • T. Breiten, V. Simoncini, M. Stoll: Low-rank solvers for

fractional differential equations, ETNA 2016

  • S. Pougkakiotis, J. W. Pearson, S. Leveque, J. Gondzio: Fast

Solution Methods for Convex Fractional Differential Equation Optimization, arXiv:1907.13428, 2019 Note: (−∆)α = Aα = RL(2α,2α)

11 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-17
SLIDE 17

Yet another fractional operator

RLβ := − RDβ1 x1 − RDβ2 x2 ,

β1, β2 ∈ (1, 2)

RDβi xi : 1D Riemann-Liouville derivative

This operator is considered in the related publications:

  • S. Dolgov, J. W. Pearson, D. V. Savostyanov, M. Stoll:Fast

tensor product solvers for optimization problems with fractional differential equations as constraints, Applied Mathematics and Computation, 2016

  • T. Breiten, V. Simoncini, M. Stoll: Low-rank solvers for

fractional differential equations, ETNA 2016

  • S. Pougkakiotis, J. W. Pearson, S. Leveque, J. Gondzio: Fast

Solution Methods for Convex Fractional Differential Equation Optimization, arXiv:1907.13428, 2019 Note: (−∆)α = Aα = RL(2α,2α)

11 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-18
SLIDE 18

Separation of variables and the Laplacian

For a function with separated variables, the Laplacian can be applied in one dimension: Let g : (0, 1)2 → ❘, g(x1, x2) = g1(x1)g2(x2). Then −∆g(x1, x2) = −g′′

1 (x1)g2(x2) − g1(x1)g′′ 2 (x2).

The case g(x1, x2) =

S

  • j=1

g(j)

1 (x1)g(j) 2 (x2)

follows immediately.

12 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-19
SLIDE 19

Separation of variables and the Laplacian

For a function with separated variables, the Laplacian can be applied in one dimension: Let g : (0, 1)2 → ❘, g(x1, x2) = g1(x1)g2(x2). Then −∆g(x1, x2) = −g′′

1 (x1)g2(x2) − g1(x1)g′′ 2 (x2).

The case g(x1, x2) =

S

  • j=1

g(j)

1 (x1)g(j) 2 (x2)

follows immediately.

12 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-20
SLIDE 20

Low rank and the discretized Laplacian

Now consider (FEM/FDM) discretizations A(1), A(2) of the

  • ne-dimensional Laplacian in the first and variables, respectively.

The a discretization of A = −∆ on (0, 1)2 is given by A = A(1) ⊗ I2 + I1 ⊗ A(2). Let g = g1 ⊗ g2 be the function g evaluated on the grid. It follows that Ag = A(1)g1 ⊗ g2 + g1 ⊗ A(2)g2. ⇒ The Laplacian A admits a tensor product representation with Kronecker rank 2.

13 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-21
SLIDE 21

Low rank and the discretized Laplacian

Therefore, the discrete Laplacian A can be applied efficiently to function g, given by g(x1, x2) =

S

  • j=1

g(j)

1 (x1)g(j) 2 (x2).

We get Ag =

S

  • j=1
  • A(1)g(j)

1 ⊗ g(j) 2 + g(j) 1 ⊗ A(2)g(j) 2

  • ,

for discretizations g(j)

i

  • f g(j)

i

. From now on: Let Aα be the discretization of Aα.

14 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-22
SLIDE 22

Low rank for solution operators?

Gavrilyuk/Hackbusch/Khoromskij (2005): using the integral representation A−α = 1 Γ(α) ∞ tα−1e−tA dt (based on the Laplace transform), it can be shown that (discretized) A−α has exponentially decaying singular values, and thus admits a low Kronecker rank approximation. Proof: Sinc quadrature → exponentially decaying coefficients. Open question: Similar results for G1 :=

  • βA−α + γ

βAα−1,

G2 :=

  • I + γ

β2 A2α−1.

But: Numerical experiments (later) show similar behaviour for all three operators.

15 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-23
SLIDE 23

Low rank for solution operators?

Gavrilyuk/Hackbusch/Khoromskij (2005): using the integral representation A−α = 1 Γ(α) ∞ tα−1e−tA dt (based on the Laplace transform), it can be shown that (discretized) A−α has exponentially decaying singular values, and thus admits a low Kronecker rank approximation. Proof: Sinc quadrature → exponentially decaying coefficients. Open question: Similar results for G1 :=

  • βA−α + γ

βAα−1,

G2 :=

  • I + γ

β2 A2α−1.

But: Numerical experiments (later) show similar behaviour for all three operators.

15 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-24
SLIDE 24

Singular value decay for A−α

10 20 30 40 50 10

−20

10

−15

10

−10

10

−5

10

singular values

n=255 n=511 n=1023 10 20 30 40 50 10

−20

10

−15

10

−10

10

−5

10

singular values

α =1 α=1/2 α =1/10

Decay of singular values with α = 1 in vs. n (left); singular values vs. α > 0 with fixed n = 511 (right).

16 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-25
SLIDE 25

Decay for discretized solution operators

10 20 30 40 50 10

−20

10

−15

10

−10

10

−5

10

singular values

α =1 α =1/2 α =1/10 10 20 30 40 50 10

−20

10

−15

10

−10

10

−5

10

singular values

α =1 α =1/2 α =1/10

Decay of singular values of G1 (left) and G2 (right) vs. α = 1, 1/2, 1/10 for n = 511.

17 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-26
SLIDE 26

Laplacian eigenvalue decomposition

Let A(i) be the discretized one-dimensional Laplacian on a uniform

  • grid. Then A(i) is diagonalized in the sine basis, i. e.

A(i) = F ∗

i Λ(i)Fi,

where Λ(i) = diag{λ1, . . . , λn}, and the action of Fi (F ∗

i ) is given

by the (inverse) sine transform. Thus, we can write A = (F ∗

1 ⊗ F ∗ 2 )(Λ1 ⊗ I2)(F1 ⊗ F2) + (F ∗ 1 ⊗ F ∗ 2 )(I1 ⊗ Λ2)(F1 ⊗ F2)

= (F ∗

1 ⊗ F ∗ 2 )

  • (Λ1 ⊗ I2) + (I1 ⊗ Λ2)
  • =:Λ

(F1 ⊗ F2), and, for a function f applied to A, we get f (A) = (F ∗

1 ⊗ F ∗ 2 )f (Λ)(F1 ⊗ F2).

18 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-27
SLIDE 27

Data in low rank format

Now assume that f (A) may be approximated by a linear combination of Kronecker rank 1 matrices. Then, to approximate f (A), it is sufficient to approximate f (Λ) (e. g. by a truncated SVD). Assume we have a decomposition f (Λ) =

R

  • k=1

diag

  • u(k)

1

⊗ u(k)

2

  • ,

and let x =

S

  • j=1

x(j)

1 ⊗ x(j) 2 .

19 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-28
SLIDE 28

Fast application of the fractional Laplacian via FFT

Now we can compute a matrix-vector product f (A)x = (F ∗

1 ⊗ F ∗ 2 )

  • R
  • k=1

diag

  • u(k)

1

⊗ u(k)

2

  • (F1 ⊗ F2)
  • S
  • j=1

x(j)

1 ⊗ x(j) 2

  • =

R

  • k=1

S

  • j=1

F ∗

1

  • u(k)

1

⊙ F1x(j)

1

  • ⊗ F ∗

2

  • u(k)

2

⊙ F2x(j)

2

  • ,

where ⊙ denotes the componentwise (Hadamard) product. ⇒ Can be computed in O(RSn log n) flops Computational time on a 215-by-215 grid (> 109): under 1 s Preprocessing time: 300 s

20 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-29
SLIDE 29

Fast application of the fractional Laplacian via FFT

Now we can compute a matrix-vector product f (A)x = (F ∗

1 ⊗ F ∗ 2 )

  • R
  • k=1

diag

  • u(k)

1

⊗ u(k)

2

  • (F1 ⊗ F2)
  • S
  • j=1

x(j)

1 ⊗ x(j) 2

  • =

R

  • k=1

S

  • j=1

F ∗

1

  • u(k)

1

⊙ F1x(j)

1

  • ⊗ F ∗

2

  • u(k)

2

⊙ F2x(j)

2

  • ,

where ⊙ denotes the componentwise (Hadamard) product. ⇒ Can be computed in O(RSn log n) flops Computational time on a 215-by-215 grid (> 109): under 1 s Preprocessing time: 300 s

20 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-30
SLIDE 30

Fast application of the fractional Laplacian via FFT

Now we can compute a matrix-vector product f (A)x = (F ∗

1 ⊗ F ∗ 2 )

  • R
  • k=1

diag

  • u(k)

1

⊗ u(k)

2

  • (F1 ⊗ F2)
  • S
  • j=1

x(j)

1 ⊗ x(j) 2

  • =

R

  • k=1

S

  • j=1

F ∗

1

  • u(k)

1

⊙ F1x(j)

1

  • ⊗ F ∗

2

  • u(k)

2

⊙ F2x(j)

2

  • ,

where ⊙ denotes the componentwise (Hadamard) product. ⇒ Can be computed in O(RSn log n) flops Computational time on a 215-by-215 grid (> 109): under 1 s Preprocessing time: 300 s

20 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-31
SLIDE 31

Shapes of the right hand side yΩ

Shapes of the right-hand side yΩ computed with n=255.

21 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-32
SLIDE 32

Computed u with α = 1

22 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-33
SLIDE 33

Computed u with α = 1/2

23 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-34
SLIDE 34

Computed u with α = 1/10

24 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-35
SLIDE 35

Decay of the error with respect to rank

10 20 30 10 -15 10 -10 10 -5 10 0

square ring L-shape

Error norm of optimal solution in full rank vs low rank format with n = 255 and α = 1/2.

25 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-36
SLIDE 36

PCG iterations for 2D and α = 1/10

G1 G2 G3 r n 256 512 1024 2048 256 512 1024 2048 256 512 1024 2048 4 4 4 4 5 4 4 4 5 3 4 4 4 5 3 3 4 4 3 4 4 4 3 3 3 4 6 3 3 3 4 3 3 3 4 2 3 3 3 7 2 3 3 3 2 3 3 3 2 2 3 3 8 2 2 2 3 2 2 2 3 2 2 2 3 9 2 2 2 2 2 2 2 2 2 2 2 3 10 2 2 2 2 2 2 2 2 2 2 2 2

univariate grid size n preconditioner rank r convergence to relative residual of 10−6

26 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-37
SLIDE 37

CPU times for 2D

1000 2000 3000 4000 5000 6000 7000 8000

univariate grid size n

0.5 1 1.5 2

time per iteration

G1, = 1/2 G2, = 1/2 G3, = 1/2 G1, = 1/10 G2, = 1/10 G3, = 1/10

CPU times (sec) vs. univariate grid size n for a single PCG iteration for a 2D problem, for different fractional operators and fixed preconditioner rank r = 5.

27 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-38
SLIDE 38

3D: from SVD ...

Low-rank m × n matrix given by the singular value decomposition: Σ U V T A = = σ1 u1 vT

1

+ · · · + σr ur vT

r

        

m

  • n

r

Formally: A = UΣV T =

r

  • k=1

σk uk vT

k =: r

  • k=1

σk uk ◦ vk

28 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-39
SLIDE 39

3D: from SVD ...

Low-rank m × n matrix given by the singular value decomposition: Σ U V T A = = σ1 u1 vT

1

+ · · · + σr ur vT

r

        

m

  • n

r

Formally: A = UΣV T =

r

  • k=1

σk uk vT

k =: r

  • k=1

σk uk ◦ vk

28 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-40
SLIDE 40

...over the Tucker format...

A C = U1 U2 U3

       

n1

  • n2

n3

  • r3
  • r1

r2

Formally: A = C ×1 U1 · · · ×d Ud = C

d

×

i=1

Ui Storage cost: O(rd + dnr)

29 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-41
SLIDE 41

...over the Tucker format...

A C = U1 U2 U3

       

n1

  • n2

n3

  • r3
  • r1

r2

Formally: A = C ×1 U1 · · · ×d Ud = C

d

×

i=1

Ui Storage cost: O(rd + dnr)

29 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-42
SLIDE 42

...over the Tucker format...

A C = U1 U2 U3

       

n1

  • n2

n3

  • r3
  • r1

r2

Formally: A = C ×1 U1 · · · ×d Ud = C

d

×

i=1

Ui Storage cost: O(rd + dnr)

29 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-43
SLIDE 43

... to the truncated HOSVD

A Tucker decomposition of a rank-r tensor can be computed by computing an SVD for each tensor mode. We are interested in computing rank-r approximations. To this end, let Pi

ri be the best rank-ri approximation operator in the ith mode.

Then the rank-r truncated HOSVD operator PHO

r

is given by PHO

r

A := P1

r1 · · · Pd rd A.

Remark: PHO

r

  • nly gives a quasi-best rank-r approximation

30 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-44
SLIDE 44

... to the truncated HOSVD

A Tucker decomposition of a rank-r tensor can be computed by computing an SVD for each tensor mode. We are interested in computing rank-r approximations. To this end, let Pi

ri be the best rank-ri approximation operator in the ith mode.

Then the rank-r truncated HOSVD operator PHO

r

is given by PHO

r

A := P1

r1 · · · Pd rd A.

Remark: PHO

r

  • nly gives a quasi-best rank-r approximation

30 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-45
SLIDE 45

... to the truncated HOSVD

A Tucker decomposition of a rank-r tensor can be computed by computing an SVD for each tensor mode. We are interested in computing rank-r approximations. To this end, let Pi

ri be the best rank-ri approximation operator in the ith mode.

Then the rank-r truncated HOSVD operator PHO

r

is given by PHO

r

A := P1

r1 · · · Pd rd A.

Remark: PHO

r

  • nly gives a quasi-best rank-r approximation

30 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-46
SLIDE 46

... to the truncated HOSVD

A Tucker decomposition of a rank-r tensor can be computed by computing an SVD for each tensor mode. We are interested in computing rank-r approximations. To this end, let Pi

ri be the best rank-ri approximation operator in the ith mode.

Then the rank-r truncated HOSVD operator PHO

r

is given by PHO

r

A := P1

r1 · · · Pd rd A.

Remark: PHO

r

  • nly gives a quasi-best rank-r approximation

30 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-47
SLIDE 47

... to the truncated HOSVD

A Tucker decomposition of a rank-r tensor can be computed by computing an SVD for each tensor mode. We are interested in computing rank-r approximations. To this end, let Pi

ri be the best rank-ri approximation operator in the ith mode.

Then the rank-r truncated HOSVD operator PHO

r

is given by PHO

r

A := P1

r1 · · · Pd rd A.

Remark: PHO

r

  • nly gives a quasi-best rank-r approximation

30 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-48
SLIDE 48

Tucker-ALS approximation in 3D

5 10 15 20 10

−10

10

−5

Tucker rank error α =1 α =1/2 α =1/10 5 10 15 20 10

−10

10

−5

Tucker rank error α =1 α =1/2 α =1/10

Tucker-ALS approximation error of G1 (left) and G2 (right) vs. α = 1, 1/2, 1/10 for d = 3.

31 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-49
SLIDE 49

PCG iterations for 3D and α = 1/2

G1 G2 G3 r n 64 128 256 512 64 128 256 512 64 128 256 512 4 1 2 1 1 1 6 1 2 1 2 1 1 5 1 1 1 2 1 1 8 4 1 1 1 2 6 1 1 1 1 2 2 1 1 1 1 1 1 7 1 3 1 2 1 1 5 4 1 2 1 2 8 1 1 1 1 1 1 1 1 1 1 1 1 9 1 1 1 2 1 6 5 4 1 1 1 2 10 1 1 1 1 1 6 1 1 1 1 1 1

univariate grid size n preconditioner rank r convergence to relative residual of 10−6

32 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-50
SLIDE 50

CPU times for 3D

100 200 300 400 500

univariate grid size n

10 20 30 40 50

seconds

G1 G2 G3

100 200 300 400 500

univariate grid size n

5 10 15

seconds

G1 G2 G3

α = 1/2, r = 4 α = 1/10, r = 7

CPU times (in seconds) vs. grid size n of a single PCG iteration for a 3D problem, for different fractional operators and fixed preconditioner rank r.

33 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-51
SLIDE 51

3D level curves

α = 1: α = 1

2:

α = 1

10:

Solutions u for analogous right-hand sides (n = 255).

34 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-52
SLIDE 52

Generalization to varying coefficient

Generalization to different elliptic equation [Schmitt 2019]: (−div(❆grad))αy = βu , ❆(x1, x2) = a1(x1) a2(x2)

  • needs affordable preparation step for 1D eigenvalues/vectors

similarly good numerical complexity more general ❆ in preparation α = 1

2:

35 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-53
SLIDE 53

Publications

Gennadij Heidel: Optimization in Tensor Spaces for Data Science and Scientific Computing, PhD Dissertation, Trier University 2019 Gennadij Heidel, Venera Khoromskaia, Boris N. Khoromskij, Volker Schulz: Tensor approach to optimal control problems with fractional d-dimensional elliptic operator in constraints, 2018, arXiv:1809.01971 (revised version submitted to SICON) Britta Schmitt: Niedrigrang-Tensorapproximation bei heterogen verteilten Optimalsteuerungsproblemen, Masters’s Thesis, Trier University, 2019 Britta Schmitt, Venera Khoromskaia, Boris N. Khoromskij, Volker Schulz: Low-Rank Tensor Approximation of Heterogenously Distributed Optimal Control Problems (in preparation)

36 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019

slide-54
SLIDE 54

Conclusions

Solution of a nonlocal PDE on a tensor grid in O(RSn log n) ≪ O(nd) Numerical complexity independent of d Even for α = 1 the methodology is significantly faster than multigrid Numerical results convincing; theoretical justification w.r.t. low rank still open

37 Volker Schulz, Tensor approach to optimal control problems, October 16, 2019