Fast eigenpairs computation with operator adapted wavelets and hierarchical subspace correction Hehu Xie,∗ Lei Zhang,y Houman Owhadiz September 5, 2019 We present a method for the fast computation of the eigenpairs of a bijective positive symmetric linear operator L. The method is based on a combination of operator adapted wavelets (gamblets) with hierarchical subspace correction. First, gamblets provide a raw but fast approximation of the eigensubspaces of L by block-diagonalizing L into sparse and well-conditioned blocks. Next, the hierarchical subspace correction method, computes the eigenpairs associ- ated with the Galerkin restriction of L to a coarse (low dimensional) gamblet subspace, and then, corrects those eigenpairs by solving a hierarchy of linear problems in the finer gamblet subspaces (from coarse to fine, using multigrid iteration). The proposed algorithm is robust to the presence of multiple (a con- tinuum of) scales and is shown to be of near-linear complexity when L is an s −s (arbitrary local, e.g. differential) operator mapping H0(Ω) to H (Ω) (e.g. an elliptic PDE with rough coefficients). Keywords. Multiscale eigenvalue problem, gamblet decomposition, multi- grid iteration, subspace correction, numerical homogenization. AMS subject classifications. 65N30, 65N25, 65L15, 65B99. 1 Introduction arXiv:1806.00565v4 [math.NA] 4 Sep 2019 Solving large scale eigenvalue problems is one of the most fundamental and challenging tasks in modern science and engineering. Although high-dimensional eigenvalue problems ∗
[email protected]. LSEC, NCMIS, Institute of Computational Mathematics, Academy of Mathe- matics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China, and University of Chinese Academy of Sciences, Beijing 100049, China.