Stable Rank-Adaptive Dynamically Orthogonal Runge–Kutta Schemes

.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 superlinearly 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 rank-adaptive integration schemes that dynamically update the subspace upon which the system dynamics are 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.Keywordsdynamical low-rank approximationdynamically orthogonal equationsmatrix differential equationsstochastic differential equationsuncertainty quantificationreduced-order modelingdifferential geometryretractionfixed-rank matrix manifoldMSC codes54C1565F5553B2115A2357Z0557Z2057Z2560G6065C3065M1265M2265C2081S2294A0853A0735R60