Randomized algorithms for generalized Hermitian eigenvalue problems with application to computing Karhunen–Loève expansion
From MaRDI portal
Publication:5739763
DOI10.1002/nla.2026zbMath1413.65104arXiv1307.6885OpenAlexW1445618291WikidataQ57433125 ScholiaQ57433125MaRDI QIDQ5739763
Peter K. Kitanidis, Arvind K. Saibaba, Jong-Hyun Lee
Publication date: 19 July 2016
Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6885
Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Hermitian, skew-Hermitian, and related matrices (15B57)
Related Items (23)
Projected Wasserstein Gradient Descent for High-Dimensional Bayesian Inference ⋮ Optimal design of acoustic metamaterial cloaks under uncertainty ⋮ Stochastic polynomial chaos expansion method for random Darcy equation ⋮ Randomized generalized singular value decomposition ⋮ Uncertainty quantification and stochastic polynomial chaos expansion for recovering random data in Darcy and diffusion equations ⋮ Optimal Experimental Design for Inverse Problems in the Presence of Observation Correlations ⋮ A literature survey of matrix methods for data science ⋮ Enabling Hyper-Differential Sensitivity Analysis for Ill-Posed Inverse Problems ⋮ A scalable framework for multi-objective PDE-constrained design of building insulation under uncertainty ⋮ Goal-Oriented Optimal Approximations of Bayesian Linear Inverse Problems ⋮ A Multilevel, Hierarchical Sampling Technique for Spatially Correlated Random Fields ⋮ Taylor approximation and variance reduction for PDE-constrained optimal control under uncertainty ⋮ Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo ⋮ Fast sampling of parameterised Gaussian random fields ⋮ Taylor Approximation for Chance Constrained Optimization Problems Governed by Partial Differential Equations with High-Dimensional Random Parameters ⋮ Low-Rank Independence Samplers in Hierarchical Bayesian Inverse Problems ⋮ Tikhonov Regularization and Randomized GSVD ⋮ Randomized core reduction for discrete ill-posed problem ⋮ Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields ⋮ An Uncertainty-Weighted Asynchronous ADMM Method for Parallel PDE Parameter Estimation ⋮ Numerical study of reciprocal recommendation with domain matching ⋮ Generalisation of a quadrilateral duality theorem ⋮ Forward and inverse modeling of fault transmissibility in subsurface flows
Uses Software
Cites Work
- Unnamed Item
- Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- A randomized algorithm for the decomposition of matrices
- Application of hierarchical matrices for computing the Karhunen-Loève expansion
- A theoretical comparison between inner products in the shift-invert Arnoldi method and the spectral transformation Lanczos method
- Introduction to hierarchical matrices with applications.
- Large-scale stochastic linear inversion using hierarchical matrices. Illustrated with an application to crosswell tomography in seismic imaging
- Computational aspects of the stochastic finite element method
- Karhunen-Loève approximation of random fields by generalized fast multipole methods
- DOLFIN
- Numerical Methods for Large Eigenvalue Problems
- Randomized algorithms for the low-rank approximation of matrices
- Estimating Extremal Eigenvalues and Condition Numbers of Matrices
- Generalizing the Singular Value Decomposition
- A Shifted Block Lanczos Algorithm for Solving Sparse Symmetric Generalized Eigenproblems
This page was built for publication: Randomized algorithms for generalized Hermitian eigenvalue problems with application to computing Karhunen–Loève expansion
