Randomized time stepping of nonlinearly parametrized solutions of evolution problems

Abstract: The Dirac-Frenkel variational principle is a widely used building block for using nonlinear parametrizations in the context of model reduction and numerically solving partial differential equations; however, it typically leads to time-dependent least-squares problems that are poorly conditioned. This work introduces a randomized time stepping scheme that solves at each time step a low-dimensional, random projection of the parameter vector via sketching. The sketching has a regularization effect that leads to better conditioned least-squares problems and at the same time reduces the number of unknowns that need to be solved for at each time step. Numerical experiments with benchmark examples demonstrate that randomized time stepping via sketching achieves competitive accuracy and outperforms standard regularization in terms of runtime efficiency.