Numerical Algorithms and High-Performance Computing - CADMOS Chair

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Related publications (333)

On multivariate trace inequalities of Sutter, Berta, and Tomamichel

Marius Christopher Lemm

We consider a family of multivariate trace inequalities recently derived by Sutter, Berta, and Tomamichel. These inequalities generalize the Golden-Thompson inequality and Lieb’s triple matrix inequality to an arbitrary number of matrices in a way that fea ...

2018

What do gravitons say about (unimodular) gravity?

Mario Herrero Valea

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 ...

SPRINGER2018

Body posture can greatly influence human performance when carrying out manipulation tasks. Adopting an appropriate pose helps us regulate our motion and strengthen our capability to achieve a given task. This effect is also observed in robotic manipulation ...

2018

Multigrid Methods Combined With Low-Rank Approximation For Tensor-Structured Markov Chains

Daniel Kressner, Francisco Santos Paredes Quartin de Macedo

Markov chains that describe interacting subsystems suffer from state space explosion but lead to highly structured matrices. In this work, we propose a novel tensor-based algorithm to address such tensor-structured Markov chains. Our algorithm combines a t ...

2018

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We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

Tensor product of correspondence functors

Jacques Thévenaz, Serge Bouc

As part of the study of correspondence functors, the present paper investigates their tensor product and proves some of its main properties. In particular, the correspondence functor associated to a finite lattice has the structure of a commutative algebra ...

2018

MATHICSE Technical Report : Low-rank updates and a divideand- conquer method for linear matrix equations

Daniel Kressner, Stefano Massei

Linear matrix equations, such as the Sylvester and Lyapunov equations, play an important role in various applications, including the stability analysis and dimensionality reduction of linear dynamical control systems and the solution of partial differentia ...

MATHICSE2017

Dynamical Low Rank approximation of PDEs with random parameters

Eleonora Musharbash

In this work, we focus on the Dynamical Low Rank (DLR) approximation of PDEs equations with random parameters. This can be interpreted as a reduced basis method, where the approximate solution is expanded in separable form over a set of few deterministic b ...

EPFL2017

Recompression Of Hadamard Products Of Tensors In Tucker Format

Daniel Kressner, Lana Perisa

The Hadamard product features prominently in tensor-based algorithms in scientific computing and data analysis. Due to its tendency to significantly increase ranks, the Hadamard product can represent a major computational obstacle in algorithms based on lo ...

Siam Publications2017

MATHICSE Technical Report : Incremental computation of block triangular matrix exponentials with application to option pricing

Daniel Kressner, Robert Gerhard Jérôme Luce, Francesco Statti

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 ...

MATHICSE2017