Low-rank updates and a divide-and-conquer method for linear matrix equations

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 differential equations. In this work, we present and analyze a new algorithm, based on tensorized Krylov subspaces, for quickly updating the solution of such a matrix equation when its coefficients undergo low-rank changes. We demonstrate how our algorithm can be utilized to accelerate the Newton method for solving continuous-time algebraic Riccati equations. Our algorithm also forms the basis of a new divide-and-conquer approach for linear matrix equations with coefficients that feature hierarchical low-rank structure, such as HODLR, HSS, and banded matrices. Numerical experiments demonstrate the advantages of divide-and-conquer over existing approaches, in terms of computational time and memory consumption

Rational Krylov for Stieltjes matrix functions: convergence and pole selection

Evaluating the action of a matrix function on a vector, that is $x=f(\mathcal M)v$, is an ubiquitous task in applications. When $\mathcal M$ is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the poles of the rational Krylov method for approximating $x$ when $f(z)$ is either Cauchy-Stieltjes or Laplace-Stieltjes (or, which is equivalent, completely monotonic) and $\mathcal M$ is a positive definite matrix. Relying on the same tools used to analyze the generic situation, we then focus on the case $\mathcal M=I \otimes A - B^T \otimes I$, and $v$ obtained vectorizing a low-rank matrix; this finds application, for instance, in solving fractional diffusion equation on two-dimensional tensor grids. We see how to leverage tensorized Krylov subspaces to exploit the Kronecker structure and we introduce an error analysis for the numerical approximation of $x$. Pole selection strategies with explicit convergence bounds are given also in this case

Faster Geometric Algorithms via Dynamic Determinant Computation

The computation of determinants or their signs is the core procedure in many important geometric algorithms, such as convex hull, volume and point location. As the dimension of the computation space grows, a higher percentage of the total computation time is consumed by these computations. In this paper we study the sequences of determinants that appear in geometric algorithms. The computation of a single determinant is accelerated by using the information from the previous computations in that sequence. We propose two dynamic determinant algorithms with quadratic arithmetic complexity when employed in convex hull and volume computations, and with linear arithmetic complexity when used in point location problems. We implement the proposed algorithms and perform an extensive experimental analysis. On one hand, our analysis serves as a performance study of state-of-the-art determinant algorithms and implementations. On the other hand, we demonstrate the supremacy of our methods over state-of-the-art implementations of determinant and geometric algorithms. Our experimental results include a 20 and 78 times speed-up in volume and point location computations in dimension 6 and 11 respectively.Comment: 29 pages, 8 figures, 3 table