Numerical algorithms for problems in analysis and algebra, scientific computation

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12
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0answers
317 views

Descartes rule of signs for a noncommutative polynomial in matrix variables

Recently, while studying certain notions of "averaging" a set of input matrices, I obtained a nonlinear polynomial in matrix variables. A simple example is \begin{equation*} \mathcal{G}(X) := X^n - ...
11
votes
0answers
766 views

Constructive aspects of Caratheodory's theorem in convex analysis

Let me paraphrase Caratheodory's theorem in a probabilistic setup: Let $X$ be a real-valued random variable. For $k = 1, \ldots, m$, let $f_k: \mathbb{R} \to \mathbb{R}$ be a continuous function such ...
10
votes
0answers
192 views

What are the difficulties in proving almost-everywhere stability of Gaussian elimination?

It is well known that Gaussian elimination without pivoting is numerically unstable, and in practice Gaussian elimination is done with row pivoting (partial pivoting). A theorem of Wilkinson states ...
10
votes
0answers
503 views

Once differentiable, piecewise degree three polynomials on triangulated planar domains

Here is an easily described, but very difficult, problem that I (and a number of other people) really would like to see solved during our life times. The basic problem is to compute the dimension of ...
8
votes
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376 views

Padé approximations of $e$

The following question came up in the analysis of some algorithm. Let $R_{s,t}(z)$ be the Padé approximants of $e^z$, and define $r_{s,t} = R_{s,t}(1)$. Using the explicit expression for the error ...
8
votes
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445 views

How to evaluate binomial coefficients efficiently and as correctly as possible?

This question is more precisely about evaluation with a computer, of a binomial coefficient of the form $ \binom{x}{m}$ where $x$ is a real number and $m$ a rational integer. The reason why I ask is ...
8
votes
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330 views

Evaluating Shintani cone zeta functions

Hi everyone I am trying the evaluate sums of the form $$ \sum_{n_1>0,n_2>0,\ldots,n_m>0} \frac{1}{\big((a_{1,1}n_1 +\ldots +a_{1,m}n_m)^k \ldots (a_{m,1}n_1+ \ldots +a_{m,m}n_m)^k\big)}$$ ...
7
votes
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608 views

American put option pricing by “binomial trees”

Dear MO World, I'm teaching a financial mathematics course and have found a fascinating (to me) numerical phenomenon and wonder if anyone has studied it, or knows anything similar. I'll try and give ...
6
votes
0answers
147 views

Numerical linear algebra: how to compute $B^TC^{−1}B$ efficiently

Hi, my question is similar to this one. I have to compute $B^TC^{−1}B$, where $C$ is a strictly positive definite $n\times n$ matrix and $B$ is $n\times m$. The matrix $C$ is huge ($n$ up to a ...
6
votes
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391 views

Weakest condition for an integrable, almost-symplectic manifold?

I was recently speaking with someone who works in Computational Chemistry and they mentioned that in a lot of the computational simulations they do, they have systems that are not symplectic but still ...
5
votes
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168 views

Degree of Chebyshev polynomial necessary

In general, given $0<a<1$, I want to find a polynomial $f(x)\in\Bbb R[x]$ such that $f(x)\in[1-\frac{a}2,1+\frac{a}2]$ at every $x\in[1-a,1+a]$ and $f(0)=0$. What is minimum degree that is ...
5
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107 views

Hyperbolic toral automorphisms, and maximizing over orbits the minimum along an orbit of a function

Setup: Let $\phi\colon T^2 \to T^2$ be a hyperbolic toral automorphism. Let $f\colon T^2 \to \mathbb{R}$ be a continuous function. For $x \in T^2$, let $\underline{f}(x) = \inf_{n \in \mathbb{Z}} ...
5
votes
0answers
104 views

Error of midpoint method for differentiable functions

Is it the case that for every differentiable function $f$ on $[0,1]$ (with finite one-sided derivatives at the endpoints), the midpoint method of estimating $\int_0^1 f(x) \: dx$ has error $o(1/n)$? ...
5
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264 views

Approximation by polynomials

The following is a well-known theorem (see e.g. The Chebyshev Polynomial by Rivlin): If $p(x) = x^n + a_{n_1} x^{n-1} + \ldots + a_0$, then $\max_{-1\leq x \leq 1} |p(x)| \geq 2^{1-n}$ for $n \geq 1$ ...
5
votes
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433 views

Parabolic cylinder functions - explicit estimates?

I need estimates for the parabolic cylinder functions $U(a,z)$ (first studied by Whittaker). Most work in the literature focuses on $a$ real. As it happens, I am interested in $U(a,z)$ on a strip in ...
5
votes
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133 views

reference for perturbation of projection result

Let $A$ and $B$ have the same rank and dimensions. If $P_A$ denotes the projection onto the range space of $A$, then $$ \|P_A - P_B\|_2 \leq \|A - B\| \cdot \min (\|A^\dagger\|_2, \|B^\dagger\|_2). $$ ...
5
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328 views

Approximations of negative Sobolev norms

Consider the standard Cahn-Hilliard free energy, augmented by a nonlocal interaction term which measures the $H^{-1}$ norm of a zero-mean function. Could someone point me to a reference where this ...
4
votes
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65 views

Numerical integration error bounds on the unit sphere

A sequence of points $x_1,x_2,\dots$ on the unit sphere $S^{D-1}$ is said to be uniformly distributed if \begin{align} \lim_{N \rightarrow \infty} \frac{1}{N} \sum_{j=1}^N f(x_j) = \int_{x \in ...
4
votes
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65 views

Estimating polynomial approximation error in high dimension

Question Let $x \in [-1, 1]^d \subset \mathbb{R}^d$ be a $d$-dimensional variable and assume that -- given $n$ -- I have a way of computing a polynomial $p_n(x)$ of degree $n$ that approximates a ...
4
votes
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553 views

Linearizing and solving a nonlinear PDE numerically

Im trying to solve the following (transport & diffusion) nonlinear PDE numerically (via finite volume on a cuboid region. Some Material gets cooled down, s.t. in some areas the material becomes ...
4
votes
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143 views

About arithmetic-geometric mean

It's well known that if we set $a_0=x \geq 0, \ g_0=y \geq 0$, and $$ a_{n+1}=\dfrac{1}{2}(a_n+g_n), \ g_{n+1}=\sqrt{a_n g_n} ,$$ then both $\{a_n\}$ and $\{g_n\}$ will converge to $AGM(x,y)$. ...
4
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157 views

Preconditioner for finding the smallest eigenpairs of a large, but structured, matrix

I'm trying to find the eigenvector corresponding to the second smallest eigenvalue of a large $(4,000,000 \times 4,000,000)$ matrix $L$. $L$ is a graph Laplacian, with the following structure: $L = D ...
4
votes
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167 views

Pair of two-variable polynomial equations of high order

I have the following pair of equations to be solved for two variables $\rho$ and $D$ resulting from a certain Maximum Likelihood Estimation for a time series $X_n > 0$, $n=0, \ldots, N+1$ with $N ...
4
votes
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137 views

Are there some numerical test to check if a map is a contraction?

Let's say I have a multivariate function $$ f:D \to D, D \subset \mathbb R ^n, D \text{ compact}, $$ for which there is no closed form. That is the only way to evaluate the function is to do it ...
4
votes
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218 views

Inadmissibility of Simpson's rule

(An earlier version of this at stackexchange got no answers.) Bayesianism says that all uncertainties, or at least all uncertainties about the truth or falsity of propositions, can be expressed by ...
4
votes
0answers
52 views

Recovering Shared Eigenvector Set

Suppose we are given a set of $M$ pairs $\{(\vec{x}^{(i)},\vec{y}^{(i)})\}$, with $\vec{x}^{(i)}\in\mathbb{R}^N$, $\vec{y}^{(i)}\in\mathbb{R}^N$, $M\gg N$ such that $\vec{y}^{(i)} = Q^{(i)} ...
4
votes
0answers
336 views

Extreme eigenvalues of real symmetric matrix with main diagonal variance twice non-diagonal

Main question Suppose there exists a random real symmetric $N \times N$ matrix $A$ with the main diagonal elements distributed according to $\mathcal N(\mu = 0, \sigma^2 = 4N)$, while all ...
4
votes
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288 views

What are the eigenvectors of the Lagrange interpolation matrix?

Let $F$ be a field. Let $x_1,\ldots,x_k,y_1,\ldots,y_k\in F$ be distinct elements in the field. Consider the $k\times k$ matrix that in position $i$, $j$ has the element $\frac{\prod_{l\neq i}(y_i - ...
4
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370 views

The order of the Jacobi method for Hermitian matrices

Let $H$ be an $n\times n$ Hermitian matrix. The Jacobi method is an iterative method for finding the spectrum of $H$. It is described in every book on numerical linear algebra. Principle: At step ...
3
votes
0answers
59 views

Compensated compactness for system of conservation laws?

As far as I knew, the method of compensated compactness can be used only for one-dimensional scalar and $2\times 2$ systems of conservation laws, i.e. $u_t+f(u)_x=0$. But if I understood correctly ...
3
votes
0answers
66 views

Determining Nullspace Basis such that only one column is deleted or added as row is added or deleted, and remaining columns of basis stay the same

I would like to compute, in MATLAB, the basis Z for the nullspace of an m by n matrix A, such that if one row of A is added (resulting in A_a), the basis for A_a is n-m-1 of the n-m columns of Z, ...
3
votes
0answers
108 views

error estimate of linear interpolation in high dimension

Consider convex functions $f,g$ on $[0,1]^d$. Let $x_1,\cdots,x_n$ be $n\geq d+1$ fixed point in $[0,1]^d$ that is equally 'distributed' in the sense that $$c_1\leq ...
3
votes
0answers
139 views

Numerical Methods for stochastic PDE, from rough paths to backward equations

this question is about some literary references regarding the state of the art in terms of numerical methods for SPDE's. In particular, Have the numerical implications, if any, of the results in ...
3
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0answers
86 views

What do we know about the generalized eigenvalue problem involving a projector?

Consider a matrix $A\in\mathbb{R}^{n\times n}$ and a projector $P\in\mathbb{R}^{n\times n}$. Are there results regarding the generalized eigenpairs $(v,\lambda)$ of the generalized eigenproblem ...
3
votes
0answers
153 views

Upper bound on integrals of Legendre polynomials

Hi, If $P_n(x) $ is unnormalized shifted Legendre polynomial, and $g_{n,m}(x) = \int_0^x P_n(x_1)x_1^m dx_1, n>m $ then what is the upper bound $ |g_{n,m} (x)|_{max} , x\in (0,1) $ as a function ...
3
votes
0answers
120 views

Computing the norm of the columns of an implicitly defined matrix

I have an $n \times n$ matrix $M = \Sigma W$ where $\Sigma$ is diagonal and $W$ orthogonal. $W$ is implicitly defined, i.e. I can only perform matrix-vector products (but I also have access to $W^T$). ...
3
votes
0answers
177 views

Pseudoinverse of column submatrix, from pseudoinverse of entire matrix.

Hello, I am working on a numerical method for the least-squares solution of a linear system. I know that I can approximate the solution to $Ax=b$ with $x=A^+b$, where $A^+$ is the Moore-Penrose ...
3
votes
0answers
184 views

Numerical solution

Last time, I asked this question but after discussing with some friends, I have given up finding closed-form solutions. Now I have a simpler question.Let $g_i: i=1,2$ be $C^2 =C^{2}(-\infty,\infty)$ ...
3
votes
0answers
413 views

Convergence of the relaxation method for every parameter in the relevant disk

For large size matrices, the resolution of linear systems $Ax=b$ is often done iteratively. The matrix $A$ is split as $A=M-N$, with $M$ invertible, and one performs $$x^{k+1}=M^{-1}(Nx^k+b).$$ The ...
3
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0answers
856 views

Eigenvalue Problems with Linear Constraints

The motivation for this problem comes from trying to develop a simple way to decompose domains into non-overlapping subdomains to solve for the eigenvalues of some differential operator. The idea is ...
3
votes
0answers
324 views

Convergence to a (unique?) fixed point?

Consider a given $N\times P$ matrix $X$ (full rank with columns ${\bf x}_p$, $p=1,\ldots,P$), a given vector ${\bf y}\in R^N$ and a thresholding function $\eta_\lambda(|x|)=(|x|-\lambda)_+$ with ...
3
votes
0answers
239 views

Nonlinear conjugate gradient update strategy by Dai and Yuan

In Nocedal and Wright book "Numerical Optimization", they describe on page 123 (formula 5.49) an update strategy for the beta parameter in the nonlinear conjugate gradient optimization, which was ...
2
votes
0answers
49 views

Scale vector in scaled pivoting (numerical methods)

I'm teaching students about several numeric methods, including scaled pivoting. There's a small section in this subject that I could never find a clear explanation to, either as intuition, or a more ...
2
votes
0answers
41 views

Finding an explicit constant in finite element error estimates

Background: In a finite element approximation to the solution of a linear PDEs, estimates on the order of convergence of the approximation to the solution rely on a theorem of Bramble and Hilbert ...
2
votes
0answers
53 views

Compute the smoothing of functions

Given a function $g:R^d\rightarrow R$, which is not necessarily continuous, I want to compute the "smoothing" of $g$, i.e., $G(\vec{y})=\int_{R^n} g(\vec{x}) f_{\vec{y}, \sigma}(\vec{x}) d\vec{x} $ ...
2
votes
0answers
52 views

Estimating overshoot in spline interpolation

Say I have a spline space $\mathcal S$ of dimension $n$ with a set of unisolvent points $(\xi_i)_{i=1}^n$, i.e., points at which I can unambiguously interpolate within the spline space. So, given ...
2
votes
0answers
70 views

What is the computational complexity to compute the integral numerically?

Given $$\int_{\Delta}\frac{P_1(x_1,x_2,\dots,x_n)}{P_2(x_1,x_2,\dots,x_n)}$$ where $P_i$ is polynomial(that is $P_1(x_1,x_2,\dots,x_n), P_2(x_1,x_2,\dots,x_n)$ are polynomial) whose coefficients are ...
2
votes
0answers
140 views

Are there workable numerical approaches for the pentagon equation?

Warning: this post is the "numerical" analog of Are there workable algebraic geometry approaches for the pentagon equation? I've replaced "algebraic geometry" by "numerical" in its content, ...
2
votes
0answers
83 views

Lanczos algorithm with thick restart on a dynamic matrix

currently, I'm working on a way to compute the 2 biggest eigenvalues of a real, symmetric, huge and sparse matrix that changes a few entries from time to time. The problem should be solved using an ...
2
votes
0answers
99 views

Stationary Distribution for Markov-like system?

Let \begin{equation} A= \begin{pmatrix} 0 & a_{1,2} & a_{1,3} \\ a_{2,1} & 0 & a_{2,3} \\ a_{3,1} & a_{3,2} & 0 \end{pmatrix}, \end{equation} \begin{equation} B= ...