Parametric PDEs: Sparse or Low-Rank Approximations?

Abstract: We consider adaptive approximations of the parameter-to-solution map for elliptic operator equations depending on a large or infinite number of parameters, comparing approximation strategies of different degrees of nonlinearity: sparse polynomial expansions, general low-rank approximations separating spatial and parametric variables, and hierarchical tensor decompositions separating all variables. We describe corresponding adaptive algorithms based on a common generic template and show their near-optimality with respect to natural approximability assumptions for each type of approximation. A central ingredient in the resulting bounds for the total computational complexity are new operator compression results for the case of infinitely many parameters. We conclude with a comparison of the complexity estimates based on the actual approximability properties of classes of parametric model problems, which shows that the computational costs of optimized low-rank expansions can be significantly lower or higher than those of sparse polynomial expansions, depending on the particular type of parametric problem.