Related papers: Solving rank structured Sylvester and Lyapunov equ…
A numerical analysis for the fully discrete approximation of an operator Lyapunov equation related to linear SPDEs (stochastic partial differential equations) driven by multiplicative noise is considered. The discretization of the Lyapunov…
We introduce a new ADI-based low rank solver for $AX-XB=F$, where $F$ has rapidly decaying singular values. Our approach results in both theoretical and practical gains, including (1) the derivation of new bounds on singular values for…
Low-rank plus diagonal (LRPD) decompositions provide a powerful structural model for large covariance matrices, simultaneously capturing global shared factors and localized corrections that arise in covariance estimation, factor analysis,…
Low-rank modeling plays a pivotal role in signal processing and machine learning, with applications ranging from collaborative filtering, video surveillance, medical imaging, to dimensionality reduction and adaptive filtering. Many modern…
The structure-preserving doubling algorithm (SDA) is a fairly efficient method for solving problems closely related to Hamiltonian (or Hamiltonian-like) matrices, such as computing the required solutions to algebraic Riccati equations.…
This paper presents an efficient algorithm for the approximation of the rank-one convex hull in the context of nonlinear solid mechanics. It is based on hierarchical rank-one sequences and simultaneously provides first and second derivative…
In this study, we consider the numerical solution of large systems of linear equations obtained from the stochastic Galerkin formulation of stochastic partial differential equations. We propose an iterative algorithm that exploits the…
Structured low-rank approximation is the problem of minimizing a weighted Frobenius distance to a given matrix among all matrices of fixed rank in a linear space of matrices. We study exact solutions to this problem by way of computational…
We consider the problem of computing an approximate banded solution of the continuous-time Lyapunov equation $\underline{A}\underline{X}+\underline{X}\underline{A}^{T}=\underline{P}$, where the coefficient matrices $\underline{A}$ and…
Many real world datasets subsume a linear or non-linear low-rank structure in a very low-dimensional space. Unfortunately, one often has very little or no information about the geometry of the space, resulting in a highly under-determined…
In this paper, we show that the bundle method can be applied to solve semidefinite programming problems with a low rank solution without ever constructing a full matrix. To accomplish this, we use recent results from randomly sketching…
In this paper, we study distributed methods for solving a Sylvester equation in the form of AX+XB=C for matrices A, B, C$\in R^{n\times n}$ with X being the unknown variable. The entries of A, B and C (called data) are partitioned into a…
This paper presents new sufficient conditions for convergence and asymptotic or exponential stability of a stochastic discrete-time system, under which the constructed Lyapunov function always decreases in expectation along the system's…
Structured Low-Rank Approximation is a problem arising in a wide range of applications in Numerical Analysis and Engineering Sciences. Given an input matrix $M$, the goal is to compute a matrix $M'$ of given rank $r$ in a linear or affine…
We consider the problem of minimizing a linear function over an affine section of the cone of positive semidefinite matrices, with the additional constraint that the feasible matrix has prescribed rank. When the rank constraint is active,…
Developing efficient solvers for large-scale multi-term linear matrix equations remains a central challenge in numerical linear algebra and is still largely unresolved. This paper introduces a methodology leveraging CUR decomposition for…
This paper is concerned with the development and analysis of an iterative solver for high-dimensional second-order elliptic problems based on subspace-based low-rank tensor formats. Both the subspaces giving rise to low-rank approximations…
In this paper, we develop a unified framework able to certify both exponential and subexponential convergence rates for a wide range of iterative first-order optimization algorithms. To this end, we construct a family of parameter-dependent…
In this paper, we consider the challenge of reconstructing jointly sparse vectors from linear measurements. Firstly, we show that by utilizing the rank of the output data matrix we can reduce the problem to a full column rank case. This…
We propose a new method for the approximate solution of the Lyapunov equation with rank-$1$ right-hand side, which is based on extended rational Krylov subspace approximation with adaptively computed shifts. The shift selection is obtained…