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arXiv · 1710.09470

An inexact Newton-Krylov method for stochastic eigenvalue problems

Peter Benner·Akwum Onwunta·Martin Stoll
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Abstract

This paper aims at the efficient numerical solution of stochastic eigenvalue problems. Such problems often lead to prohibitively high dimensional systems with tensor product structure when discretized with the stochastic Galerkin method. Here, we exploit this inherent tensor product structure to develop a globalized low-rank inexact Newton method with which we tackle the stochastic eigenproblem. We illustrate the effectiveness of our solver with numerical experiments.

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Peter Benner, Akwum Onwunta, Martin Stoll. 2017-10-25. An inexact Newton-Krylov method for stochastic eigenvalue problems. https://doi.org/10.1515/cmam-2018-0030

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