Implicit Low-Rank Riemannian Schemes for the Time Integration of Stiff Partial Differential Equations.

ABSTRACT

We propose two implicit numerical schemes for the low-rank time integration of stiff nonlinear partial differential equations. Our approach uses the preconditioned Riemannian trust-region method of Absil, Baker, and Gallivan, 2007. We demonstrate the efficiency of our method for solving the Allen-Cahn and the Fisher-KPP equations on the manifold of fixed-rank matrices. Our approach allows us to avoid the restriction on the time step typical of methods that use the fixed-point iteration to solve the inner nonlinear equations. Finally, we demonstrate the efficiency of the preconditioner on the same variational problems presented in Sutti and Vandereycken, 2021.