All Questions
Tagged with linear-algebra na.numerical-analysis
176 questions
3
votes
0
answers
2k
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 ...
- 13.4k
0
votes
1
answer
769
views
Proving that the eigenvalues of a certain matrix product are positive
Let $A$ be an $m \times n$ matrix, and define:
\begin{align*}
U &= {\rm diag} \{ \frac{1}{\beta_j} \}, \beta_j = \sum_{k=1}^m |a_{kj}|, j = 1 \dots n \\
V &= {\rm diag} \{ \frac{1}{\alpha_i} \}...
- 20.2k
4
votes
1
answer
161
views
Sensitivity of the range of a matrix
The distance between two subspaces $\mathcal{U}$ and $\widetilde{\mathcal{U}}$ is classically defined as $d(\mathcal{U},\tilde{\mathcal{U}}):=\|P-\tilde{P}\|$, where $P$ and $\tilde{P}$ are orthogonal ...
- 20.2k
2
votes
2
answers
219
views
Boundedness of ratio of linear functions
Consider the function
\begin{eqnarray}
f(x_1,x_2,\cdots, x_n) = \frac{\sum_{i}^{n}a_ix_i}{\sum_{i}^{n}b_ix_i},
\end{eqnarray}
over the set $S = \{x := (x_1,x_2,\cdots, x_n):-1 \leq x_i \leq 1,\; \...
- 1,991
1
vote
0
answers
1k
views
Bounds for the infinity norm of the inverse for certain diagonaly dominant matrices
I m trying to analyse the stability against perturbations for a specific system of linear equations $Ax=b$.
For this, i use the standard condition number $||A||_{\infty}||A^{-1}||_{\infty}$.
Here ...
- 11
1
vote
1
answer
474
views
Decompositions of sparse symmetric matrices and methods for solving large linear equations
I am writing code for solving linear equations of the form
$$A_{n\times n}\cdot x=1_n$$
where $n$ is on the order of $10^6$ and $A$ is a symmetric matrix with approx $10^3$ nonzero entries in each ...
- 3,934
2
votes
1
answer
78
views
An algebraic equation question [closed]
My question is this:
If $\frac{\sqrt[n]{\prod_{i=1}^n(p_i + 1)}}{\sqrt[n]{\prod_{i=1}^n(m_i + 1)}} = e ^\beta$
can I find an expression (either exact or approximate) for $\frac{\sqrt[n]{\prod_{i=1}^...
2
votes
0
answers
146
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 ...
CommunityBot
- 1
4
votes
0
answers
136
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
$$...
- 66.3k
5
votes
5
answers
1k
views
solving series of linear systems with diagonal perturbations
I would like to solve a series of linear systems Ax=b as quickly as quickly as possible. However, the systems are related. Specifically, each matrix A is given by:
cI + E
where E is a fixed sparse, ...
2
votes
0
answers
263
views
Algorithms to compute largest gap between smallest nonzero eigenvalues of sparse symmetric matrix
I am looking mainly for implementations but also for theoretical algorithms to compute gaps between smallest positive eigenvalues of symmetric, singular matrix or real numbers.
To be precise, I want ...
- 14k
14
votes
2
answers
606
views
Condition number of matrix after partial orthogonalization
I'm wondering about which bounds one can put on the condition number of
a $n\times n$ square matrix which is obtained from another $n\times n$
square matrix by orthogonalizing the first $m < n$ ...
CommunityBot
- 1
1
vote
1
answer
83
views
Augmenting orthonormal system into complete orthonormal system in a numerically stable way
Let us suppose we have a, say, 10 dimensional real space with 3 orthogonal unit vectors given. How do I complete this orthonormal system with 7 additional vectors into a complete ONS in a way that is ...
- 20.2k
1
vote
1
answer
246
views
Eigenvalue problem with quadratic constraints
$\circ$ Consider the following eigenvalue problem : $$Ax=\lambda x \hspace{0.5cm} (1)$$
where matrice $A \in \mathbb{R}_{n \times n}$ is a positive semi-definite with eigenvectors $x = (x_{1},x_{2},.....
- 188k
2
votes
1
answer
1k
views
Updating $LU$ decomposition after adding a sparse matrix
How many elements of $LU$ decomposition of a symmetric matrix change after adding a sparse symmetric matrix? Is it more efficient to recompute $LU$ decomposition after adding a sparse matrix comparing ...
- 20.2k
12
votes
2
answers
3k
views
How to project a vector onto a very large, non-orthogonal subspace
I have a difficult problem.
I have a very large, non-orthogonal matrix $A$ and need to project the vector $y$ onto the subspace spanning the columns of $A$. If this were a small matrix, I would use ...
CommunityBot
- 1
5
votes
0
answers
392
views
Preconditioner for finding the smallest eigenpairs of a large, but structured, matrix
I'm trying to find the eigenvector corresponding to the second smallest eigenvalue of a large $(4,000,000 \times 4,000,000)$ matrix $L$. $L$ is a graph Laplacian, with the following structure: $L = D -...
- 500
6
votes
3
answers
2k
views
Conjugate Gradient for a "slightly" singular system.
Suppose I have a symmetric $N \times N$ matrix A which has a one-dimensional Nullspace $N$. A is positive definite on $N^\bot$. In my case $N$ is the space of constant vectors (i.e. generated by ...
- 321
7
votes
4
answers
2k
views
Is there a name for the matrix equation A X B + B X A + C X C = D?
I happen to be working on a problem that reduces to solving the following equation:
$$\mathbf{A X B} + \mathbf{B X A} + \mathbf{C X C} = \mathbf{D}$$
where A through D are known matrices ( A, B, D ...
CommunityBot
- 1
13
votes
2
answers
946
views
Computing a large permanent
Is there a practical way to compute the permanent of a large ($91 \times 91$) $(0,1)$ matrix?
I have tried to use the matlab function written by Luke Winslow which works great for smaller matrices ...
- 82.7k
7
votes
1
answer
318
views
Who first observed that Conjugate Gradient for Symmetric Positive Definite linear systems is a Krylov method?
Conjugate gradient was originally presented in the 50's before the modern understanding of Krylov subspaces (and the resulting iterative methods) was fully realized. As such, the method was derived ...
- 188k
6
votes
1
answer
1k
views
Efficient computation of Markov chain transition probability matrix
Consider a continuous Markov chain $X = (X_t)$ on a finite state space and let $Q$ be the (given) transition rate matrix. This matrix is very sparse, with non-zero values on 3 diagonals only (so from ...
CommunityBot
- 1
4
votes
1
answer
1k
views
Matrix perturbation theory
I am having matrix $M_0$ with coresponding eigenvectors and 4 eigenvalues {0,0,a,-a}. Eigenvalue $\lambda=0$ is double degenerated. Now I am appliing small perturbation $\epsilon M_1$ and want to get ...
CommunityBot
- 1
0
votes
1
answer
173
views
Avoiding epsilon in mixed integer linear and quadratically constrained programs
I would like to represent the following constraint as MILP constraint where $x \in [a, b]$ with fixed $a, b \in \mathbb{R}$ and $y \in \lbrace 0, 1 \rbrace$.
$(x = 0 \wedge y = 1) \vee (x \neq 0 \...
- 611
4
votes
1
answer
885
views
best rank r approximation for non-Frobenius norm
The best rank $r$ approximation to a given matrix $M$ in Frobenius norm, according to Eckart-Young theorem, is truncated SVD - just keep $r$ largest singular values. What if I need to construct best ...
- 28.6k
3
votes
1
answer
413
views
Kronecker-structured matrix kernel
Let $A,B\in\mathbb{C}^{n\times 3n}$ be two matrices, and denote the Kronecker matrix product by $\otimes$. The matrix
$$
M=
\begin{bmatrix} A \otimes I_n \\\\ I_n \otimes B\end{bmatrix}
$$
has size $...
- 12.7k
4
votes
0
answers
70
views
Recovering Shared Eigenvector Set
Suppose we are given a set of $M$ pairs $\{(\vec{x}^{(i)},\vec{y}^{(i)})\}$, with
$\vec{x}^{(i)}\in\mathbb{R}^N$,
$\vec{y}^{(i)}\in\mathbb{R}^N$,
$M\gg N$ such that
$\vec{y}^{(i)} = Q^{(i)} \vec{x}^...
- 1,667
7
votes
0
answers
209
views
Numerical linear algebra: how to compute $B^TC^{−1}B$ efficiently
Hi,
my question is similar to this one. I have to compute $B^TC^{−1}B$, where $C$ is a strictly positive definite $n\times n$ matrix and $B$ is $n\times m$.
The matrix $C$ is huge ($n$ up to a ...
CommunityBot
- 1
1
vote
0
answers
126
views
Matrix Minimax problem
I have the equation $\Sigma_k(M_k{p_k})V=EV$, where the $M_k$ are n*n real Hermitian matrices, $V$ is a n*n eigenvector matrix, $E$ a dim-n energy eigenvector and the $p_k$ scalar parameters. The $M_k$...
- 4,829
8
votes
1
answer
1k
views
Norm of inverse confluent Vandermonde matrix
Let $\{x_1,\dots,x_n\}$ be pairwise distinct complex numbers and $l_1+l_2+\dots+l_n=N$. The $N\times N$ confluent Vandermonde matrix is defined as
$$V=
\begin{bmatrix}
v_{1,0}&v_{2,0}&\dots&...
CommunityBot
- 1
2
votes
0
answers
184
views
Checking for error in conjugate gradient algorithm
What is a good way to check if the any numerical error is occured in conjugate gradient algorithm. Additionally why is it not suggested to check error by checking A-orthogonality of search direction ...
- 489
1
vote
0
answers
109
views
Is there a Krylov subspace method for solving D+epsilon*S where D is diagonal, epsilon small and S skew-symmetric
I'm working on a problem that gives a matrix system of the form D + epsilon*S, where S is a skew-symmetric matrix. I'm interested in finding if any work has been done to develop a conjugate gradient ...
- 11
0
votes
1
answer
193
views
Ease of calculation of norm
I have SPD matrix A and two vectors z and b.
Is there exist a norm where I can calculate $||A^{1/2}b-z||$ without having to calculate $A^{1/2}b$ explicitly ?
- 3,934
5
votes
0
answers
160
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
$$
\|P_A - P_B\|_2 \leq \|A - B\| \cdot \min (\|A^\dagger\|_2, \|B^\dagger\|_2).
$$
...
- 12.7k
21
votes
9
answers
19k
views
What is the best algorithm to find the smallest nonzero Eigenvalue of a symmetric matrix?
see title.
An algorithm is 'good' if it is able to distinguish between zero Eigenvalues and nonzero Eigenvalues.
- 156k
0
votes
1
answer
353
views
Moore-Penrose bound question
Suppose that we are given an equation $Ax=b$. The minimum least-squares solution is of course $x_{m}=A^{\dagger}b$. What I want to know is whether there are known bounds on $||x-x_{m}||$. In the ...
- 3,934
2
votes
2
answers
902
views
A sum of eigenvalues
Let $X$ be an $n\times n$ symmetric matrix. Suppose $\lambda_1(X)\geq \lambda_2(X) \geq \cdots \geq \lambda_n(X)$ are eigenvalues of $X$. Let $r$ be any integer with $1\leq r\leq n$. It is well-known ...
- 52.3k
2
votes
1
answer
815
views
A question for solutions of perturbed linear systems
Consider a linear system
$$Ax=b\qquad (*)$$
and a sequence of perturbed linear systems $$(A+\delta A_n)x=b+\delta b_n. \qquad (n)$$
Suppose that all the linear systems are consistent (i.e., ...
CommunityBot
- 1
3
votes
0
answers
130
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 $W^T$).
...
1
vote
3
answers
202
views
Solving for an operator by minimization
Please note that I am looking for numerical algorithms that will tell me what the operator is that minimizes a problem.
I have a 2x2 complex hermitian operator that is a function of two variables, so ...
- 773
5
votes
2
answers
4k
views
sparsity of QR decomposition
Hi, everyone!
I have a sparse $n \times n$ matrix $A$ with $nnz(A)$ denoting the number of non-zero entries in $A$. Now I use QR factorization to decompose $A$ into an orthogonal matrix $Q$ and ...
- 6,962
2
votes
1
answer
196
views
Relations between a set of inner products of vectors
Suppose we have n normalized vectors on an arbitrarily large Hilbert space $|A_1\rangle,\dots,|A_n\rangle$, $\langle A_i|A_i\rangle=1$ for every i. And there're $\frac{n(n-1)}{2}$ inner products $\...
- 96.4k
6
votes
1
answer
737
views
Rank of the absolute-value matrix $|M|$ vs. rank of $M$
Let $M$ be a real matrix of rank $r$ (and let us set $M=UV^T$, with $U,V^T\in\mathbb{R}^{n\times r}$, to fix the notation).
Let $|M|$ be the matrix obtained by taking the absolute value of each entry ...
CommunityBot
- 1
8
votes
2
answers
583
views
Efficiently computing a few localized eigenvectors
Let $H = \triangle + V(x) : \mathbb{R}^2 \rightarrow \mathbb{R}^2$. I am interested in domain decomposition for an eigenproblem involving $H$.
The lowest 1000 eigenfunctions of $H$, $ \psi_i $, can ...
CommunityBot
- 1
1
vote
0
answers
298
views
Norm preserving matrix fix
Hello,
I'll state the problem first and than I'll a little bit of motivation.
Lets be given regular matrix $M \in \mathbb{R}^{n\times n}$ and norm $||.||$ in $\mathbb{R}^{n}$. Define $$ U =\{ L\in \...
- 25.7k
2
votes
1
answer
2k
views
How to do (m)Gram-Schmidt orthogonalization with integers ? (real life problem) ("mathematicalized reformulation")
New edition of the question, "mathematicalized" (thanks to Gerhard).
Consider and integer valued n*n matrix M, with integers elements in the range -N < m < N.
I want to find integer-valued ...
CommunityBot
- 1
2
votes
1
answer
1k
views
On an eigenvalue inequality
Let $\lambda_1 (\cdot)$ be the larger absolute value
eigenvalue of a $2\times2$ matrix and $\lambda_2 (\cdot)$
the smaller absolute value eigenvalue of a $2\times2$ matrix, i.e.
$|\lambda_1 (\cdot)| \...
CommunityBot
- 1
2
votes
2
answers
599
views
Eigenvectors of a diagonalizable matrix
Suppose we have a n-by-n symmetric matrix K which can be factorized in a way, K = H * L * H', where L is a m-by-m diagonal matrix and H is a n-by-m matrix. In addition, let's assume n <= m.
Can we ...
CommunityBot
- 1
13
votes
2
answers
1k
views
Seeking proof for linear algebra constraint problem.
Given a symmetric real matrix with a zero diagonal $M$, I am trying to find a diagonal matrix $D$, such that the matrix $M + D$ is positive definite, and $(M+D)^{-1}$ has a diagonal consisting of all ...
- 9,486
7
votes
1
answer
505
views
Numerical linear algebra: how to compute $b^TA^{-1}b$ efficiently
What is the most efficient way to compute $b^TA^{-1}b$ for a given $A$ and $b$?
Do we have to calculate $A^{-1}b$, or is this not necessary?
edit: I forgot to mention that A is symmetric and ...
- 461