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Solution of linear systems and matrix inversion in the TT-format
Sergey Dolgov and Ivan V. Oseledets
Tensors arise naturally in high-dimensional problems in chemistry, financial mathematics and many others. The numerical treatment of such kind of problems is difficult due to the curse of dimensionality: the number of unknowns and computational complexity grows exponentially with the dimension of the problem. To break the curse of dimensionality, low-parametric representations, or formats have to be used. In this paper we make use of the TT-format which is one of the most effective stable representations of high-dimensional tensors. Basic linear algebra operations in the TT-format are now well-developed. Our goal is to provide a "black-box"-type solver for linear systems where both the matrix and the right-hand side are in the TT-format. An efficient DMRG (Density Matrix Renormalization Group) method is proposed, and several tricks are employed to make it work. The numerical experiments confirm the effectiveness of our approach.