Related papers: Accelerating a restarted Krylov method for matrix …
We consider unconstrained randomized optimization of convex objective functions. We analyze the Random Pursuit algorithm, which iteratively computes an approximate solution to the optimization problem by repeated optimization over a…
We consider the task of updating a matrix function $f(A)$ when the matrix $A\in{\mathbb C}^{n \times n}$ is subject to a low-rank modification. In other words, we aim at approximating $f(A+D)-f(A)$ for a matrix $D$ of rank $k \ll n$. The…
Inverse problems arise in a wide spectrum of applications in fields ranging from engineering to scientific computation. Connected with the rise of interest in inverse problems is the development and analysis of regularization methods, such…
Thanks to its great potential in reducing both computational cost and memory requirements, combining sketching and Krylov subspace techniques has attracted a lot of attention in the recent literature on projection methods for linear…
Most current prevalent iterative methods can be classified into the so-called extended Krylov subspace methods, a class of iterative methods which do not fall into this category are also proposed in this paper. Comparing with traditional…
Iterative methods for computing matrix functions have been extensively studied and their convergence speed can be significantly improved with the right tuning of parameters and by mixing different iteration types. Handtuning the design…
In this work we introduce a memory-efficient method for computing the action of a Hermitian matrix function on a vector. Our method consists of a rational Lanczos algorithm combined with a basis compression procedure based on rational…
We present a new Krylov subspace recycling method for solving a linear system of equations, or a sequence of slowly changing linear systems. Our approach is to reduce the computational overhead of recycling techniques while still benefiting…
Low-rank approximation of a matrix by means of random sampling has been consistently efficient in its empirical studies by many scientists who applied it with various sparse and structured multipliers, but adequate formal support for this…
In this work, we propose a new method, termed as R-CORK, for the numerical solution of large-scale rational eigenvalue problems, which is based on a linearization and on a compact decomposition of the rational Krylov subspaces corresponding…
One of the limitations of recycled GCRO methods is the large amount of computation required to orthogonalize the basis vectors of the newly generated Krylov subspace for the approximate solution when combined with those of the recycle…
This paper studies two potential modifications of XTrace (Epperly et al., SIMAX 45(1):1-23, 2024), a randomized algorithm for estimating the trace of a matrix. The first is a variance reduction step that averages the output of XTrace over…
Krylov methods rely on iterated matrix-vector products $A^k u_j$ for an $n\times n$ matrix $A$ and vectors $u_1,\ldots,u_m$. The space spanned by all iterates $A^k u_j$ admits a particular basis -- the \emph{maximal Krylov basis} -- which…
Randomized algorithms are overwhelming methods for low-rank approximation that can alleviate the computational expenditure with great reliability compared to deterministic algorithms. A crucial thought is generating a standard Gaussian…
We present an acceleration of the well-established Krylov-Ritz methods to compute the sign function of large complex matrices, as needed in lattice QCD simulations involving the overlap Dirac operator at both zero and nonzero baryon…
Sequences of parametrized Lyapunov equations can be encountered in many application settings. Moreover, solutions of such equations are often intermediate steps of an overall procedure whose main goal is the computation of…
We introduce an algorithm for estimating the trace of a matrix function $f(\mathbf{A})$ using implicit products with a symmetric matrix $\mathbf{A}$. Existing methods for implicit trace estimation of a matrix function tend to treat…
In this overview article we will consider the deliberate restarting of algorithms, a meta technique, in order to improve the algorithm's performance, e.g., convergence rates or approximation guarantees. One of the major advantages is that…
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 paper introduces new solvers for efficiently computing solutions to large-scale inverse problems with group sparsity regularization, including both non-overlapping and overlapping groups. Group sparsity regularization refers to a type…