484 research outputs found

    Computing the Conditioning of the Components of a Linear Least Squares Solution

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    In this paper, we address the accuracy of the results for the overdetermined full rank linear least squares problem. We recall theoretical results obtained in Arioli, Baboulin and Gratton, SIMAX 29(2):413--433, 2007, on conditioning of the least squares solution and the components of the solution when the matrix perturbations are measured in Frobenius or spectral norms. Then we define computable estimates for these condition numbers and we interpret them in terms of statistical quantities. In particular, we show that, in the classical linear statistical model, the ratio of the variance of one component of the solution by the variance of the right-hand side is exactly the condition number of this solution component when perturbations on the right-hand side are considered. We also provide fragment codes using LAPACK routines to compute the variance-covariance matrix and the least squares conditioning and we give the corresponding computational cost. Finally we present a small historical numerical example that was used by Laplace in Theorie Analytique des Probabilites, 1820, for computing the mass of Jupiter and experiments from the space industry with real physical data

    Second-order Shape Optimization for Geometric Inverse Problems in Vision

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    We develop a method for optimization in shape spaces, i.e., sets of surfaces modulo re-parametrization. Unlike previously proposed gradient flows, we achieve superlinear convergence rates through a subtle approximation of the shape Hessian, which is generally hard to compute and suffers from a series of degeneracies. Our analysis highlights the role of mean curvature motion in comparison with first-order schemes: instead of surface area, our approach penalizes deformation, either by its Dirichlet energy or total variation. Latter regularizer sparks the development of an alternating direction method of multipliers on triangular meshes. Therein, a conjugate-gradients solver enables us to bypass formation of the Gaussian normal equations appearing in the course of the overall optimization. We combine all of the aforementioned ideas in a versatile geometric variation-regularized Levenberg-Marquardt-type method applicable to a variety of shape functionals, depending on intrinsic properties of the surface such as normal field and curvature as well as its embedding into space. Promising experimental results are reported

    How Ordinary Elimination Became Gaussian Elimination

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    Newton, in notes that he would rather not have seen published, described a process for solving simultaneous equations that later authors applied specifically to linear equations. This method that Euler did not recommend, that Legendre called "ordinary," and that Gauss called "common" - is now named after Gauss: "Gaussian" elimination. Gauss's name became associated with elimination through the adoption, by professional computers, of a specialized notation that Gauss devised for his own least squares calculations. The notation allowed elimination to be viewed as a sequence of arithmetic operations that were repeatedly optimized for hand computing and eventually were described by matrices.Comment: 56 pages, 21 figures, 1 tabl

    Finding Structure with Randomness: Probabilistic Algorithms for Constructing Approximate Matrix Decompositions

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    Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which demonstrates that randomization offers a powerful tool for performing low-rank matrix approximation. These techniques exploit modern computational architectures more fully than classical methods and open the possibility of dealing with truly massive data sets. This paper presents a modular framework for constructing randomized algorithms that compute partial matrix decompositions. These methods use random sampling to identify a subspace that captures most of the action of a matrix. The input matrix is then compressed—either explicitly or implicitly—to this subspace, and the reduced matrix is manipulated deterministically to obtain the desired low-rank factorization. In many cases, this approach beats its classical competitors in terms of accuracy, robustness, and/or speed. These claims are supported by extensive numerical experiments and a detailed error analysis. The specific benefits of randomized techniques depend on the computational environment. Consider the model problem of finding the k dominant components of the singular value decomposition of an m × n matrix. (i) For a dense input matrix, randomized algorithms require O(mn log(k)) floating-point operations (flops) in contrast to O(mnk) for classical algorithms. (ii) For a sparse input matrix, the flop count matches classical Krylov subspace methods, but the randomized approach is more robust and can easily be reorganized to exploit multiprocessor architectures. (iii) For a matrix that is too large to fit in fast memory, the randomized techniques require only a constant number of passes over the data, as opposed to O(k) passes for classical algorithms. In fact, it is sometimes possible to perform matrix approximation with a single pass over the data

    Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions

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    Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which demonstrates that randomization offers a powerful tool for performing low-rank matrix approximation. These techniques exploit modern computational architectures more fully than classical methods and open the possibility of dealing with truly massive data sets. This paper presents a modular framework for constructing randomized algorithms that compute partial matrix decompositions. These methods use random sampling to identify a subspace that captures most of the action of a matrix. The input matrix is then compressed---either explicitly or implicitly---to this subspace, and the reduced matrix is manipulated deterministically to obtain the desired low-rank factorization. In many cases, this approach beats its classical competitors in terms of accuracy, speed, and robustness. These claims are supported by extensive numerical experiments and a detailed error analysis

    Model-based Data Fusion in Industrial Process Instrumentation

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    A computational study of using black-box QR solvers for large-scale sparse-dense linear least squares problems

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    Large-scale overdetermined linear least squares problems arise in many practical applications. One popular solution method is based on the backward stable QR factorization of the system matrix A . This article focuses on sparse-dense least squares problems in which A is sparse except from a small number of rows that are considered dense. For large-scale problems, the direct application of a QR solver either fails because of insufficient memory or is unacceptably slow. We study several solution approaches based on using a sparse QR solver without modification, focussing on the case that the sparse part of A is rank deficient. We discuss partial matrix stretching and regularization and propose extending the augmented system formulation with iterative refinement for sparse problems to sparse-dense problems, optionally incorporating multi-precision arithmetic. In summary, our computational study shows that, before applying a black-box QR factorization, a check should be made for rows that are classified as dense and, if such rows are identified, then A should be split into sparse and dense blocks; a number of ways to use a black-box QR factorization to exploit this splitting are possible, with no single method found to be the best in all cases
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