相关论文: Low-rank plus diagonal approximations for Riccati-…
Singular value decomposition (SVD) and matrix inversion are ubiquitous in scientific computing. Both tasks are computationally demanding for large scale matrices. Existing algorithms can approximatively solve these problems with a given…
Balancing between computational efficiency and sample efficiency is an important goal in reinforcement learning. Temporal difference (TD) learning algorithms stochastically update the value function, with a linear time complexity in the…
We consider the numerical solution of the continuous algebraic Riccati equation $A^*X+XA-XFX+G=0$, with $F=F^*, G=G^*$ of low rank and $A$ large and sparse. We develop an algorithm for the low rank approximation of $X$ by means of an…
Recently, Musco and Woodruff (FOCS, 2017) showed that given an $n \times n$ positive semidefinite (PSD) matrix $A$, it is possible to compute a $(1+\epsilon)$-approximate relative-error low-rank approximation to $A$ by querying…
We develop computational methods for approximating the solution of a linear multi-term matrix equation in low rank. We follow an alternating minimization framework, where the solution is represented as a product of two matrices, and…
In this paper, we propose a new algorithm for recovery of low-rank matrices from compressed linear measurements. The underlying idea of this algorithm is to closely approximate the rank function with a smooth function of singular values,…
We propose a rank-one Riemannian subspace descent algorithm for computing symmetric positive definite (SPD) solutions to nonlinear matrix equations arising in control theory, dynamic programming, and stochastic filtering. For solution…
We study distributed low rank approximation in which the matrix to be approximated is only implicitly represented across the different servers. For example, each of $s$ servers may have an $n \times d$ matrix $A^t$, and we may be interested…
Composite convex optimization problems which include both a nonsmooth term and a low-rank promoting term have important applications in machine learning and signal processing, such as when one wishes to recover an unknown matrix that is…
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…
In this paper, we consider the alignment between an upstream dimensionality reduction task of learning a low-dimensional representation of a set of high-dimensional data and a downstream optimization task of solving a stochastic program…
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…
Of all the possible projection methods for solving large-scale Lyapunov matrix equations, Galerkin approaches remain much more popular than minimal-residual ones. This is mainly due to the different nature of the projected problems stemming…
This paper presents novel adaptive space-time reduced-rank interference suppression least squares algorithms based on joint iterative optimization of parameter vectors. The proposed space-time reduced-rank scheme consists of a joint…
A numerical dynamical low-rank approximation (DLRA) scheme for the solution of the Vlasov-Poisson equation is presented. Based on the formulation of the DLRA equations as Friedrichs' systems in a continuous setting, it combines recently…
This paper presents an effective low-rank generalized alternating direction implicit iteration (R-GADI) method for solving large-scale sparse and stable Lyapunov matrix equations and continuous-time algebraic Riccati matrix equations. The…
We consider the problem of estimating the uncertainty in statistical inverse problems using Bayesian inference. When the probability density of the noise and the prior are Gaussian, the solution of such a statistical inverse problem is also…
Low-rank modeling has a lot of important applications in machine learning, computer vision and social network analysis. While the matrix rank is often approximated by the convex nuclear norm, the use of nonconvex low-rank regularizers has…
Random projection (RP) is a classical technique for reducing storage and computational costs. We analyze RP-based approximations of convex programs, in which the original optimization problem is approximated by the solution of a…
PDE-constrained optimization problems arise in a broad number of applications such as hyperthermia cancer treatment or blood flow simulation. Discretization of the optimization problem and using a Lagrangian approach result in a large-scale…