Computing the Exponential of Large Block-Triangular Block-Toeplitz Matrices Encountered in Fluid Queues

The Erlangian approximation of Markovian fluid queues leads to the problem of computing the matrix exponential of a subgenerator having a block-triangular, block-Toeplitz structure. To this end, we propose some algorithms which exploit the Toeplitz structure and the properties of generators. Such algorithms allow to compute the exponential of very large matrices, which would otherwise be untreatable with standard methods. We also prove interesting decay properties of the exponential of a generator having a block-triangular, block-Toeplitz structure

A probabilistic algorithm to test local algebraic observability in polynomial time

The following questions are often encountered in system and control theory. Given an algebraic model of a physical process, which variables can be, in theory, deduced from the input-output behavior of an experiment? How many of the remaining variables should we assume to be known in order to determine all the others? These questions are parts of the \emph{local algebraic observability} problem which is concerned with the existence of a non trivial Lie subalgebra of the symmetries of the model letting the inputs and the outputs invariant. We present a \emph{probabilistic seminumerical} algorithm that proposes a solution to this problem in \emph{polynomial time}. A bound for the necessary number of arithmetic operations on the rational field is presented. This bound is polynomial in the \emph{complexity of evaluation} of the model and in the number of variables. Furthermore, we show that the \emph{size} of the integers involved in the computations is polynomial in the number of variables and in the degree of the differential system. Last, we estimate the probability of success of our algorithm and we present some benchmarks from our Maple implementation.Comment: 26 pages. A Maple implementation is availabl

Rapid computation of L-functions for modular forms

Let $f$ be a fixed (holomorphic or Maass) modular cusp form, with $L$-function $L(f,s)$. We describe an algorithm that computes the value $L(f,1/2+ iT)$ to any specified precision in time $O(1+|T|^{7/8})$

The devil is in the detail: hints for practical optimisation

Finding the minimum of an objective function, such as a least squares or negative log-likelihood function, with respect to the unknown model parameters is a problem often encountered in econometrics. Consequently, students of econometrics and applied econometricians are usually well-grounded in the broad differences between the numerical procedures employed to solve these problems. Often, however, relatively little time is given to understanding the practical subtleties of implementing these schemes when faced with illbehaved problems. This paper addresses some of the details involved in practical optimisation, such as dealing with constraints on the parameters, specifying starting values, termination criteria and analytical gradients, and illustrates some of the general ideas with several instructive examples

Reconstruction of thermally-symmetrized quantum autocorrelation functions from imaginary-time data

In this paper, I propose a technique for recovering quantum dynamical information from imaginary-time data via the resolution of a one-dimensional Hamburger moment problem. It is shown that the quantum autocorrelation functions are uniquely determined by and can be reconstructed from their sequence of derivatives at origin. A general class of reconstruction algorithms is then identified, according to Theorem 3. The technique is advocated as especially effective for a certain class of quantum problems in continuum space, for which only a few moments are necessary. For such problems, it is argued that the derivatives at origin can be evaluated by Monte Carlo simulations via estimators of finite variances in the limit of an infinite number of path variables. Finally, a maximum entropy inversion algorithm for the Hamburger moment problem is utilized to compute the quantum rate of reaction for a one-dimensional symmetric Eckart barrier.Comment: 15 pages, no figures, to appear in Phys. Rev.