Related papers: Using $LDL^{T}$ factorizations in Newton's method …
This article generalizes a recently introduced procedure to solve nonlinear systems of equations, radically departing from the conventional Newton-Raphson scheme. The original nonlinear system is first unfolded into three simpler…
For the nonlinear matrix equations arising in the analysis of M/G/1-type and GI/M/1-type Markov chains, the minimal nonnegative solution $G$ or $R$ can be found by Newton-like methods. Recently a fast Newton's iteration is proposed in…
We introduce a mini-batch stochastic variance-reduced algorithm to solve finite-sum scale invariant problems which cover several examples in machine learning and statistics such as principal component analysis (PCA) and estimation of…
In this paper we consider a class of conjugate discrete-time Riccati equations, arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Under mild and reasonable assumptions, the existence of…
We present a fast direct solver for structured linear systems based on multilevel matrix compression. Using the recently developed interpolative decomposition of a low-rank matrix in a recursive manner, we embed an approximation of the…
This paper studies the solution existence of the continuous-time algebraic Riccati equation (CARE). We formulate the CARE as two constrained polynomial optimization problems, and then use Lasserre's hierarchy of semi-definite relaxations to…
This paper proposes and develops a new Newton-type algorithm to solve subdifferential inclusions defined by subgradients of extended-real-valued prox-regular functions. The proposed algorithm is formulated in terms of the second-order…
Matrix differential Riccati equation (DRE) typically exhibits transient and steady-state phases, posing challenges for fixed-step time integration methods, which may lack accuracy during transients or oversample in steady regimes. In this…
In this study, a recursive solution technique in conjunction with generalized integrating factors is presented and applied to address first and second order linear differential equations. This approach demonstrates practical utility in…
We describe novel subgradient methods for a broad class of matrix optimization problems involving nuclear norm regularization. Unlike existing approaches, our method executes very cheap iterations by combining low-rank stochastic…
For solving linear ill-posed problems regularization methods are required when the right hand side is with some noise. In the present paper regularized solutions are obtained by implicit iteration methods in Hilbert scales. % By exploiting…
In this paper, we tackle two important problems in low-rank learning, which are partial singular value decomposition and numerical rank estimation of huge matrices. By using the concepts of Krylov subspaces such as Golub-Kahan…
Randomized iterative algorithms for solving a factorized linear system, $\mathbf A\mathbf B\mathbf x=\mathbf b$ with $\mathbf A\in{\mathbb{R}}^{m\times \ell}$, $\mathbf B\in{\mathbb{R}}^{\ell\times n}$, and $\mathbf b\in{\mathbb{R}}^m$,…
Powerful interior-point methods (IPM) based commercial solvers, such as Gurobi and Mosek, have been hugely successful in solving large-scale linear programming (LP) problems. The high efficiency of these solvers depends critically on the…
The Riccati equation method is used to establish a new stability criteria for linear systems of ordinary differential equations. Two examples are presented in which the obtained result is compared with the results obtained by the Lyapunov…
Recently Ahmadi et al. (2021) and Tagliaferro (2022) proposed some iterative methods for the numerical solution of linear systems which, under the classical hypothesis of strict diagonal dominance, typically converge faster than the Jacobi…
This article presents a numerical illustration of a recently proposed strongly polynomial-time algorithm for the general linear programming (LP) problem. Each iteration of the proposed algorithm consists of two Gauss-Jordan pivoting…
We consider the generalized matrix non-linear Schrodinger (NLS) hierarchy. By employing the universal Darboux-dressing scheme we derive solutions for the hierarchy of integrable PDEs via solutions of the matrix Gelfand-Levitan-Marchenko…
We consider the large scale nonsymmetric algebraic Riccati equation arising in transport theory, where the $n\times n$ coefficient matrices $B, C$ are symmetric and low-ranked and $A, E$ are rank one updates of nonsingular diagonal…
Nonlinear systems of partial differential equations (PDEs) may permit several distinct solutions. The typical current approach to finding distinct solutions is to start Newton's method with many different initial guesses, hoping to find…