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We consider the discretization of time-space diffusion equations with fractional derivatives in space and either 1D or 2D spatial domains. The use of implicit Euler scheme in time and finite differences or finite elements in space, leads to a sequence of d ...
Consider the problem of minimizing a convex differentiable function on the probability simplex, spectrahedron, or set of quantum density matrices. We prove that the expo-nentiated gradient method with Armijo line search always converges to the optimum, if ...
The efficient and accurate QR decomposition for matrices with hierarchical low-rank structures, such as HODLR and hierarchical matrices, has been challenging. Existing structure-exploiting algorithms are prone to numerical instability as they proceed indi- ...
Based on the spectral divide-and-conquer algorithm by Nakatsukasa and Higham [SIAM J. Sci. Comput., 35(3):A1325{A1349, 2013], we propose a new algorithm for computing all the eigenvalues and eigenvectors of a symmetric banded matrix. For this purpose, we c ...
We revisit the problem of constraining the weak field limit of the gravitational lagrangian from S-matrix properties. From unitarity and Lorentz invariance of the S-matrix of massless gravitons, we derive on-shell gauge invariance to consist on the transve ...
Extreme flood simulation with synthetic extreme precipitation events raises unavoidable questions about the choice of initial conditions. State-of-the-art extreme flood estimation frameworks propose to address these questions with the help of semicontinuou ...
Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be possible to retai ...
This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image, or sketch, of the matrix. These methods can preserve structural properties of the input matrix, such as positive-semidefinite ...
Society for Industrial and Applied Mathematics2017
We study the problem of computing the matrix exponential of a block triangular matrix in a peculiar way: Block column by block column, from left to right. The need for such an evaluation scheme arises naturally in the context of option pricing in polynomia ...
