An efficient solver based on low-rank approximation and Neumann matrix series for unsteady diffusion-type partial differential equations with random coefficients

Abstract: In this paper, we develop an efficient numerical solver for unsteady diffusion-type partial differential equations with random coefficients. A major computational challenge in such problems lies in repeatedly handling large-scale linear systems arising from spatial and temporal discretizations under uncertainty. To address this issue, we propose a novel generalized low-rank matrix approximation to represent the stochastic stiffness matrices, and approximate their inverses using the Neumann matrix series expansion. This approach transforms high-dimensional matrix inversion into a sequence of low-dimensional matrix multiplications. Therefore, the solver significantly reduces the computational cost and storage requirements while maintaining high numerical accuracy. The error analysis of the proposed solver is also provided. Finally, we apply the method to two classic uncertainty quantification problems: unsteady stochastic diffusion equations and the associated distributed optimal control problems. Numerical results demonstrate the feasibility and effectiveness of the proposed solver.