Related papers: Fast computation of spectral densities for general…
The spectral density of various ensembles of sparse symmetric random matrices is analyzed using the cavity method. We consider two cases: matrices whose associated graphs are locally tree-like, and sparse covariance matrices. We derive a…
The numerical solution of eigenvalue problems is essential in various application areas of scientific and engineering domains. In many problem classes, the practical interest is only a small subset of eigenvalues so it is unnecessary to…
Given two $n \times n$ Hermitian matrices $Y$ and $\Lambda$, the Harish-Chandra-Itzykson-Zuber (HCIZ) distribution on the unitary group $\text{U}(n)$ is $e^{\text{tr}(U\Lambda U^*Y)}d\mu(U)$, where $\mu$ is the Haar measure on…
Exact eigendecomposition of large matrices is very expensive, and it is practically impossible to compute exact eigenvalues. Instead, one may set a more modest goal of approaching the empirical distribution of the eigenvalues, recovering…
The Lanczos method is one of the most powerful and fundamental techniques for solving an extremal symmetric eigenvalue problem. Convergence-based error estimates depend heavily on the eigenvalue gap. In practice, this gap is often…
Large language models and deep neural networks achieve strong performance but suffer from reliability issues and high computational cost. This thesis proposes a unified framework based on spectral geometry and random matrix theory to…
We propose a technique for calculating and understanding the eigenvalue distribution of sums of random matrices from the known distribution of the summands. The exact problem is formidably hard. One extreme approximation to the true density…
Understanding the singular value spectrum of a matrix $A \in \mathbb{R}^{n \times n}$ is a fundamental task in countless applications. In matrix multiplication time, it is possible to perform a full SVD and directly compute the singular…
A deflated and restarted Lanczos algorithm to solve hermitian linear systems, and at the same time compute eigenvalues and eigenvectors for application to multiple right-hand sides, is described. For the first right-hand side, eigenvectors…
In Parts I and II of this series of papers, three new methods for the computation of eigenvalues of singular pencils were developed: rank-completing perturbations, rank-projections, and augmentation. It was observed that a straightforward…
We study algorithms for approximating the spectral density of a symmetric matrix $A$ that is accessed through matrix-vector product queries. By combining a previously studied Chebyshev polynomial moment matching method with a deflation step…
We consider the approximation of $B^T (A+sI)^{-1} B$ for large s.p.d. $A\in\mathbb{R}^{n\times n}$ with dense spectrum and $B\in\mathbb{R}^{n\times p}$, $p\ll n$. We target the computations of Multiple-Input Multiple-Output (MIMO) transfer…
In this work we generalize the concept of modular spread complexity to the cases where the reduced density matrix is non-Hermitian. This notion of complexity and associated Lanczos coefficients contain richer information than the…
Recently a novel family of eigensolvers, called spectral indicator methods (SIMs), was proposed. Given a region on the complex plane, SIMs first compute an indicator by the spectral projection. The indicator is used to test if the region…
In this paper, we introduce an algorithm for performing spectral clustering efficiently. Spectral clustering is a powerful clustering algorithm that suffers from high computational complexity, due to eigen decomposition. In this work, we…
In this paper we derive and analyze two algorithms -- referred to as decentralized power method (DPM) and decentralized Lanczos algorithm (DLA) -- for distributed computation of one (the largest) or multiple eigenvalues of a sample…
Identifying the spectrum of the sum of two given Hermitian matrices with fixed eigenvalues is the famous Horn's problem.In this note, we investigate a variant of Horn's problem, i.e., we identify the probability density function (abbr. pdf)…
Solving linear systems and computing eigenvalues are two fundamental problems in linear algebra. For solving linear systems, many efficient quantum algorithms have been discovered. For computing eigenvalues, currently, we have efficient…
We consider the numerical evaluation of the quantity $Af(A^{-1}B)$, where $A$ is Hermitian positive definite, $B$ is Hermitian, and $f$ is a function defined on the spectrum of $A^{-1}B$. This problem is related to the Hermitian-definite…
We provide a comparative study of the Subspace Projected Approximate Matrix method, abbreviated SPAM, which is a fairly recent iterative method to compute a few eigenvalues of a Hermitian matrix $A$. It falls in the category of inner-outer…