Related papers: Fast random field generation with $H$-matrices
In this work, we study the accuracy and efficiency of hierarchical matrix ($\mathcal{H}$-matrix) based fast methods for solving dense linear systems arising from the discretization of the 3D elastodynamic Green's tensors. It is well known…
In this paper, we present and analyze a new set of low-rank recovery algorithms for linear inverse problems within the class of hard thresholding methods. We provide strategies on how to set up these algorithms via basic ingredients for…
In the DFT community, it is common practice to use regular k-point grids (Monkhorst-Pack, MP) for Brillioun zone integration. Recently Wisesa et. al.\cite{wisesa2016efficient} and Morgan et. al.\cite{MORGAN2018424} demonstrated that…
We develop a supersymmetric field theoretical description of the Gaussian ensemble of the almost diagonal Hermitian Random Matrices. The matrices have independent random entries H_{ij} with parametrically small off-diagonal elements…
In this paper, we propose two new algorithms for maximum-likelihood estimation (MLE) of high dimensional sparse covariance matrices. Unlike most of the state of-the-art methods, which either use regularization techniques or penalize the…
We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model which parsimoniously describes the evolution of imperfectly…
We consider the quadratic optimization problem $$F_n^{W,h}:= \sup_{x \in S^{n-1}} ( x^T W x/2 + h^T x )\,, $$ with $W$ a (random) matrix and $h$ a random external field. We study the probabilities of large deviation of $F_n^{W,h}$ for $h$ a…
The Kaczmarz method is an iterative algorithm for solving systems of linear equalities and inequalities, that iteratively projects onto these constraints. Recently, Strohmer and Vershynin [J. Fourier Anal. Appl., 15(2):262-278, 2009] gave a…
We give an efficient algorithm to generate a graph from a distribution $\epsilon$-close to $G(n,p)$, in the sense of total variation distance. In particular, if $p$ is represented with $O(\log n)$-bit accuracy, then, with high probability,…
This paper addresses the numerical solution of the matrix square root problem. Two fixed point iterations are proposed by rearranging the nonlinear matrix equation $A - X^2 = 0$ and incorporating a positive scaling parameter. The proposals…
In this paper we provide necessary and sufficient conditions for the mean square approximation of a random field with an ortho-martingale. The conditions are formulated in terms of projective criteria. Applications are given to linear and…
Secure random numbers are a fundamental element of many applications in science, statistics, cryptography and more in general in security protocols. We present a method that enables the generation of high-speed unpredictable random numbers…
Generalized sparse matrix-matrix multiplication is a key primitive for many high performance graph algorithms as well as some linear solvers such as multigrid. We present the first parallel algorithms that achieve increasing speedups for an…
We develop an efficient algorithm for sampling the eigenvalues of random matrices distributed according to the Haar measure over the orthogonal or unitary group. Our technique samples directly a factorization of the Hessenberg form of such…
Probabilistic ideas and tools have recently begun to permeate into several fields where they had traditionally not played a major role, including fields such as numerical linear algebra and optimization. One of the key ways in which these…
This work presents a novel matrix-based method for constructing an approximation Hessian using only function evaluations. The method requires less computational power than interpolation-based methods and is easy to implement in matrix-based…
We introduce an algorithm to generate multivariate series of symbols from a finite alphabet with a given hierarchical structure of similarities. The target hierarchical structure of similarities is arbitrary, for instance the one obtained…
Random networks are increasingly used to analyse complex transportation networks, such as airline routes, roads and rail networks. So far, this research has been focused on describing the properties of the networks with the help of random…
We present a generative model that amortises computation for the field and potential around e.g.~gravitational or electromagnetic sources. Exact numerical calculation has either computational complexity $\mathcal{O}(M\times{}N)$ in the…
In order to find the outcome probabilities of quantum mechanical systems like the optical networks underlying Boson sampling, it is necessary to be able to compute the permanents of unitary matrices, a computationally hard task. Here we…