Matrix probing and its conditioning

DOI10.1137/110825972MaRDI QIDQ2882338zbMATH OpenOpenAlexFDO

Authors Jiawei Chiu, Laurent Demanet

Publication date 4 May 2012

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.5689

zbMATH Keywords

conditioninglarge deviation estimatespreconditionerspseudodifferential operatorsrandomized algorithmssystem identification

Mathematics Subject Classification ID

Conditioning of matrices (15A12) Preconditioners for iterative methods (65F08) Numerical computation of matrix norms, conditioning, scaling (65F35) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Numerical methods for trigonometric approximation and interpolation (65T40) Randomized algorithms (68W20)

Abstract: When a matrix A with n columns is known to be well approximated by a linear combination of basis matrices B_1,..., B_p, we can apply A to a random vector and solve a linear system to recover this linear combination. The same technique can be used to recover an approximation to A^-1. A basic question is whether this linear system is invertible and well-conditioned. In this paper, we show that if the Gram matrix of the B_j's is sufficiently well-conditioned and each B_j has a high numerical rank, then n {proportional} p log^2 n will ensure that the linear system is well-conditioned with high probability. Our main application is probing linear operators with smooth pseudodifferential symbols such as the wave equation Hessian in seismic imaging. We demonstrate numerically that matrix probing can also produce good preconditioners for inverting elliptic operators in variable media.

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