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We comment on two randomized algorithms for constructing low-rank matrix decompositions. Both algorithms employ the Subsampled Randomized Hadamard Transform [14]. The first algorithm appeared recently in [9]; here, we provide a novel…
We develop time integration methods in low-rank representation that can adaptively adjust approximation ranks to achieve a prescribed accuracy, while ensuring that these ranks remain proportional to the corresponding best approximation…
We consider reinforcement learning (RL) in episodic Markov decision processes (MDPs) with linear function approximation under drifting environment. Specifically, both the reward and state transition functions can evolve over time but their…
Alternating Minimization is a widely used and empirically successful heuristic for matrix completion and related low-rank optimization problems. Theoretical guarantees for Alternating Minimization have been hard to come by and are still…
In this work, we propose a (linearized) Alternating Direction Method-of-Multipliers (ADMM) algorithm for minimizing a convex function subject to a nonconvex constraint. We focus on the special case where such constraint arises from the…
Nowadays, the availability of large-scale data in disparate application domains urges the deployment of sophisticated tools for extracting valuable knowledge out of this huge bulk of information. In that vein, low-rank representations…
Reinforcement learning (RL) under changing environment models many real-world applications via nonstationary Markov Decision Processes (MDPs), and hence gains considerable interest. However, theoretical studies on nonstationary MDPs in the…
We present a unified theoretical framework for parametric low-rank approximation, a research area devoted to the development of efficient algorithms that act as adaptive alternatives of traditional methods such as Singular Value…
This work studies the linear approximation of high-dimensional dynamical systems using low-rank dynamic mode decomposition (DMD). Searching this approximation in a data-driven approach is formalised as attempting to solve a low-rank…
Low-rank approximation is a technique to approximate a tensor or a matrix with a reduced rank to reduce the memory required and computational cost for simulation. Its broad applications include dimension reduction, signal processing,…
An iterative method LSMR is presented for solving linear systems $Ax=b$ and least-squares problem $\min \norm{Ax-b}_2$, with $A$ being sparse or a fast linear operator. LSMR is based on the Golub-Kahan bidiagonalization process. It is…
Reactive synthesis is concerned with finding a correct-by-construction controller from formal specifications, typically expressed in Linear Temporal Logic (LTL). The specifications describe assumptions about an environment and guarantees to…
Alternating Directions Implicit (ADI) integration is an operator splitting approach to solve parabolic and elliptic partial differential equations in multiple dimensions based on solving sequentially a set of related one-dimensional…
A novel algorithm for the recovery of low-rank matrices acquired via compressive linear measurements is proposed and analyzed. The algorithm, a variation on the iterative hard thresholding algorithm for low-rank recovery, is designed to…
Affine rank minimization algorithms typically rely on calculating the gradient of a data error followed by a singular value decomposition at every iteration. Because these two steps are expensive, heuristic approximations are often used to…
Appropriate selection of the penalty parameter is crucial to obtaining good performance from the Alternating Direction Method of Multipliers (ADMM). While analytic results for optimal selection of this parameter are very limited, there is a…
Low-rank tensor methods for the approximate solution of second-order elliptic partial differential equations in high dimensions have recently attracted significant attention. A critical issue is to rigorously bound the error of such…
Low-rank matrix estimation is a canonical problem that finds numerous applications in signal processing, machine learning and imaging science. A popular approach in practice is to factorize the matrix into two compact low-rank factors, and…
We introduce novel dynamical low-rank methods for solving large-scale matrix differential equations, motivated by algorithms from randomized numerical linear algebra. In terms of performance (cost and accuracy), our methods overperform…
In the present paper, we consider large-scale differential Lyapunov matrix equations having a low rank constant term. We present two new approaches for the numerical resolution of such differential matrix equations. The first approach is…