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MiS Preprint
19/2011

Solution of linear systems and matrix inversion in the TT-format

Sergey Dolgov and Ivan V. Oseledets

Abstract

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.

Received:
Apr 27, 2011
Published:
Apr 28, 2011
MSC Codes:
65F30, 65F50, 65N35, 65F10
Keywords:
TT-format, solution of linear systems, high-dimensional problems, DMRG

Related publications

inJournal
2012 Repository Open Access
Ivan V. Oseledets and Sergey Dolgov

Solution of linear systems and matrix inversion in the TT-format

In: SIAM journal on scientific computing, 34 (2012) 5, A2718-A2739