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Stable Rank-adaptive Dynamically Orthogonal Runge-Kutta Schemes

Charous, A. and P.F.J. Lermusiaux, 2022. Stable Rank-adaptive Dynamically Orthogonal Runge-Kutta Schemes. SIAM Journal on Scientific Computing, sub-judice. https://arxiv.org/abs/2211.07852

We develop two new sets of stable, rank-adaptive Dynamically Orthogonal Runge-Kutta (DORK) schemes that capture the high-order curvature of the nonlinear low-rank manifold. The DORK schemes asymptotically approximate the truncated singular value decomposition at a greatly reduced cost while preserving mode continuity using newly derived retractions. We show that arbitrarily high-order optimal perturbative retractions can be obtained, and we prove that these new retractions are stable. In addition, we demonstrate that repeatedly applying retractions yields a gradient-descent algorithm on the low-rank manifold that converges geometrically when approximating a low-rank matrix. When approximating a higher-rank matrix, iterations converge linearly to the best low-rank approximation. We then develop a rank-adaptive retraction that is robust to overapproximation. Building off of these retractions, we derive two novel, rank-adaptive integration schemes that dynamically update the subspace upon which the system dynamics is projected within each time-step: the stable, optimal Dynamically Orthogonal Runge-Kutta (so-DORK) and gradient-descent Dynamically Orthogonal Runge-Kutta (gd-DORK) schemes. These integration schemes are numerically evaluated and compared on an ill-conditioned matrix differential equation, an advection-diffusion partial differential equation, and a nonlinear, stochastic reaction-diffusion partial differential equation. Results show a reduced error accumulation rate with the new stable, optimal and gradient-descent integrators. In addition, we find that rank adaptation allows for highly accurate solutions while preserving computational efficiency.