On inexact alternating direction implicit iteration for continuous Sylvester equations

In this paper, we study the alternating direction implicit (ADI) iteration for solving the continuous Sylvester equation AX +XB=C, where the coefficient matrices A and B are assumed to be positive semi-definite matrices (not necessarily Hermitian), and at least one of them to be positive definite. We first analyze the convergence of the ADI iteration for solving such a class of Sylvester equations, then derive an upper bound for the contraction factor of this ADI iteration. To reduce its computational complexity, we further propose an inexact variant of the ADI iteration, which employs some Krylov subspace methods as its inner iteration processes at each step of the outer ADI iteration. The convergence is also analyzed in detail. The numerical experiments are given to illustrate the effectiveness of both ADI and inexact ADI iterations.The authors are grateful to the anonymous referees for their valuable comments and suggestions which improved the quality of this paper. Also, The authors would like to thank the supports of the National Natural Science Foundation of China under Grant No. 11371075, the Hunan Key Laboratory of mathematical modeling and analysis in engineering, the Portuguese Funds through FCT-Fundacao para a Ciencia, within the Project UIDB/00013/2020 and UIDP/00013/2020. This work does not have any conflicts of interest

A sketch-and-project method for solving the matrix equation AXB = C

In this paper, based on an optimization problem, a sketch-and-project method for solving the linear matrix equation AXB = C is proposed. We provide a thorough convergence analysis for the new method and derive a lower bound on the convergence rate and some convergence conditions including the case that the coefficient matrix is rank deficient. By varying three parameters in the new method and convergence theorems, the new method recovers an array of well-known algorithms and their convergence results. Meanwhile, with the use of Gaussian sampling, we can obtain the Gaussian global randomized Kaczmarz (GaussGRK) method which shows some advantages in solving the matrix equation AXB = C. Finally, numerical experiments are given to illustrate the effectiveness of recovered methods.Comment: arXiv admin note: text overlap with arXiv:1506.03296, arXiv:1612.06013, arXiv:2204.13920 by other author

On circulant and skew-circulant splitting algorithms for (continuous) Sylvester equations

We present a circulant and skew-circulant splitting (CSCS) iterative method for solving large sparse continuous Sylvester equations AX+XB=C, where the coefficient matrices A and B are Toeplitz matrices. A theoretical study shows that if the circulant and skew-circulant splitting factors of A and B are positive semi-definite (not necessarily Hermitian), and at least one factor is positive definite, then the CSCS method converges to the unique solution of the Sylvester equation. In addition, our analysis gives an upper bound for the convergence factor of the CSCS iteration which depends only on the eigenvalues of the circulant and skew-circulant splitting matrices. A computational comparison with alternative methods reveals the efficiency and reliability of the proposed method.NSFC -National Natural Science Foundation of China(11371075

Geometric methods on low-rank matrix and tensor manifolds

In this chapter we present numerical methods for low-rank matrix and tensor problems that explicitly make use of the geometry of rank constrained matrix and tensor spaces. We focus on two types of problems: The first are optimization problems, like matrix and tensor completion, solving linear systems and eigenvalue problems. Such problems can be solved by numerical optimization for manifolds, called Riemannian optimization methods. We will explain the basic elements of differential geometry in order to apply such methods efficiently to rank constrained matrix and tensor spaces. The second type of problem is ordinary differential equations, defined on matrix and tensor spaces. We show how their solution can be approximated by the dynamical low-rank principle, and discuss several numerical integrators that rely in an essential way on geometric properties that are characteristic to sets of low rank matrices and tensors

On dynamical low-rank integrators for matrix differential equations

This thesis is concerned with dynamical low-rank integrators for matrix differential equations, typically stemming from space discretizations of partial differential equations. We first construct and analyze a dynamical low-rank integrator for second-order matrix differential equations, which is based on a Strang splitting and the projector-splitting integrator, a dynamical low-rank integrator for first-order matrix differential equations proposed by Lubich and Osedelets in 2014. For the analysis, we derive coupled recursive inequalities, where we express the global error of the scheme in terms of a time-discretization error and a low-rank error contribution. The first can be treated with Taylor series expansion of the exact solution. For the latter, we make use of an induction argument and the convergence result derived by Kieri, Lubich, and Walach in 2016 for the projector-splitting integrator. From the original method, several variants are derived which are tailored to, e.g., stiff or highly oscillatory second-order problems. After discussing details on the implementation of dynamical low-rank schemes, we turn towards rank-adaptivity. For the projector-splitting integrator we derive both a technique to realize changes in the approximation ranks efficiently and a heuristic to choose the rank appropriately over time. The core idea is to determine the rank such that the error of the low-rank approximation does not spoil the time-discretization error. Based on the rank-adaptive pendant of the projector-splitting integrator, rank-adaptive dynamical low-rank integrators for (stiff and non-stiff) first-order and second-order matrix differential equations are derived. The thesis is concluded with numerical experiments to confirm our theoretical findings

System- and Data-Driven Methods and Algorithms

An increasing complexity of models used to predict real-world systems leads to the need for algorithms to replace complex models with far simpler ones, while preserving the accuracy of the predictions. This two-volume handbook covers methods as well as applications. This first volume focuses on real-time control theory, data assimilation, real-time visualization, high-dimensional state spaces and interaction of different reduction techniques

Structure-Preserving Model Reduction of Physical Network Systems

This paper considers physical network systems where the energy storage is naturally associated to the nodes of the graph, while the edges of the graph correspond to static couplings. The first sections deal with the linear case, covering examples such as mass-damper and hydraulic systems, which have a structure that is similar to symmetric consensus dynamics. The last section is concerned with a specific class of nonlinear physical network systems; namely detailed-balanced chemical reaction networks governed by mass action kinetics. In both cases, linear and nonlinear, the structure of the dynamics is similar, and is based on a weighted Laplacian matrix, together with an energy function capturing the energy storage at the nodes. We discuss two methods for structure-preserving model reduction. The first one is clustering; aggregating the nodes of the underlying graph to obtain a reduced graph. The second approach is based on neglecting the energy storage at some of the nodes, and subsequently eliminating those nodes (called Kron reduction).</p