A fast stationary iterative method for a partial integro-differential equation in pricing options

A jump-diffusion model for the pricing of options leads to a partial integro-differential equation (PIDE). Discretizing the PIDE by certain method, we get a sequence of systems of linear equations, where the coefficient matrices are Toeplitz matrices. In this paper, we decompose the coefficient matrix as the sum of a tridiagonal matrix and a near low-rank matrix, and approximate the near low-rank matrix by low-rank matrices. Then we introduce a stationary iterative method for the approximate systems of linear equations. Comparison of the performance of our algorithm to that proposed in Pang et al. (Linear Algebra Appl. 434:2325–2342, 2011) is presented.     

Parallel solutions of very large sparse Lyapunov equations bybalanced BBD decompositions

In this paper, a method for the parallel solution of large sparse matrix equations is presented. The method is based on the balanced bordered block diagonal (BBD) decomposition which is applied in conjunction with the successive over-relaxation (SOR) iterative method to solve large Lyapunov equations in the Kronecker sum representation. A variety of experimental results will be presented, including solutions of Lyapunov equations with matrices as large as 1993×1993     

Textile fabric defect detection based on low-rank representation

In this paper, we propose a novel and robust fabric defect detection method based on the low-rank representation (LRR) technique. Due to the repeated texture structure we model a defects-free fabric image as a low-rank structure. In addition, because defects, if exist, change only the texture of fabric locally, we model them with a sparse structure. Based on the above idea, we represent a fabric image into the sum of a low-rank matrix which expresses fabric texture and a sparse matrix which expresses defects. Then, the LRR method is applied to obtain the corresponding decomposition. Especially, in order to make better use of low-rank structure characteristics we propose LRREB (low-rank representation based on eigenvalue decomposition and blocked matrix) method to improve LRR. LRREB is implemented by dividing a image into some corresponding blocked matrices to reduce dimensions and applying eigen-value decomposition (EVD) on blocked matrix instead of singular value decomposition (SVD) on original fabric image, which improves the accuracy and efficiency. No training samples are required in our methods. Experimental results show that the proposed fabric defect detection method is feasible, effective, and simple to be employed.

     

低秩分块矩阵的核近似

为了探讨结构受限下的矩阵分解问题,通过最小化块外对角线来增强类与类之间数据表示的不相关性,从而实现分块约束,即数据来源于不同的聚类结构,是一种局部结构的约束;同时通过增强样本的自表达属性并缩小样本之间的差距来增强类内数据表示的相关性,从而实现低秩约束,即数据行出现冗余,是一种全局结构的约束。随后设计了一个低秩分块矩阵的核近似算法,通过交替方向乘子法迭代求解。最后将该方法分别在人脸识别和字符识别上进行测试。实验结果表明,所提出的低秩分块矩阵分解算法在收敛速度和近似精度上都具有一定的优势。     

Low-rank matrix decomposition in L1-norm by dynamic systems

Low-rank matrix approximation is used in many applications of computer vision, and is frequently implemented by singular value decomposition under L₂-norm sense. To resist outliers and handle matrix with missing entries, a few methods have been proposed for low-rank matrix approximation in L₁ norm. However, the methods suffer from computational efficiency or optimization capability. Thus, in this paper we propose a solution using dynamic system to perform low-rank approximation under L₁-norm sense. From the state vector of the system, two low-rank matrices are distilled, and the product of the two low-rank matrices approximates to the given measurement matrix with missing entries, in L₁ norm. With the evolution of the system, the approximation accuracy improves step by step. The system involves a parameter, whose influences on the computational time and the final optimized two low-rank matrices are theoretically studied and experimentally valuated. The efficiency and approximation accuracy of the proposed algorithm are demonstrated by a large number of numerical tests on synthetic data and by two real datasets. Compared with state-of-the-art algorithms, the newly proposed one is competitive.     

Hybrid reconstruction of quantum density matrix: when low-rank meets sparsity

Both the mathematical theory and experiments have verified that the quantum state tomography based on compressive sensing is an efficient framework for the reconstruction of quantum density states. In recent physical experiments, we found that many unknown density matrices in which people are interested in are low-rank as well as sparse. Bearing this information in mind, in this paper we propose a reconstruction algorithm that combines the low-rank and the sparsity property of density matrices and further theoretically prove that the solution of the optimization function can be, and only be, the true density matrix satisfying the model with overwhelming probability, as long as a necessary number of measurements are allowed. The solver leverages the fixed-point equation technique in which a step-by-step strategy is developed by utilizing an extended soft threshold operator that copes with complex values. Numerical experiments of the density matrix estimation for real nuclear magnetic resonance devices reveal that the proposed method achieves a better accuracy compared to some existing methods. We believe that the proposed method could be leveraged as a generalized approach and widely implemented in the quantum state estimation.     

求解低秩矩阵融合高动态范围图像

目的 利用低秩矩阵恢复方法可从稀疏噪声污染的数据矩阵中提取出对齐且线性相关低秩图像的优点,提出一种新的基于低秩矩阵恢复理论的多曝光高动态范围（HDR）图像融合的方法,以提高HDR图像融合技术的抗噪声与去伪影的性能。方法 以部分奇异值（PSSV）作为优化目标函数,可构建通用的多曝光低动态范围（LDR）图像序列的HDR图像融合低秩数学模型。然后利用精确增广拉格朗日乘子法,求解输入的多曝光LDR图像序列的低秩矩阵,并借助交替方向乘子法对求解算法进行优化,对不同的奇异值设置自适应的惩罚因子,使得最优解尽量集中在最大奇异值的空间,从而得到对齐无噪声的场景完整光照信息,即HDR图像。结果 本文求解方法具有较好的收敛性,抗噪性能优于鲁棒主成分分析（RPCA）与PSSV方法,且能适用于多曝光LDR图像数据集较少的场合。通过对经典的Memorial Church与Arch多曝光LDR图像序列的HDR图像融合仿真结果表明,本文方法对噪声与伪影的抑制效果较为明显,图像细节丰富,基于感知一致性（PU）映射的峰值信噪比（PSNR）与结构相似度（SSIM）指标均优于对比方法：对于无噪声的Memorial Church图像序列,RPCA方法的PSNR、SSIM值分别为28.117 dB与0.935,而PSSV方法的分别为30.557 dB与0.959,本文方法的分别为32.550 dB与0.968。当为该图像序列添加均匀噪声后,RPCA方法的PSNR、SSIM值为28.115 dB与0.935,而PSSV方法的分别为30.579 dB与0.959,本文方法的为32.562 dB与0.967。结论 本文方法将多曝光HDR图像融合问题与低秩最优化理论结合,不仅可以在较少的数据量情况下以较低重构误差获取到HDR图像,还能有效去除动态场景伪影与噪声的干扰,提高融合图像的质量,具有更好的鲁棒性,适用于需要记录场景真实光线变化的场合。     

Modified alternating direction-implicit iteration method for linear systems from the incompressible Navier–Stokes equations

In order to solve the large sparse systems of linear equations arising from numerical solutions of two-dimensional steady incompressible viscous flow problems in primitive variable formulation, Ran and Yuan [On modified block SSOR iteration methods for linear systems from steady incompressible viscous flow problems, Appl. Math. Comput. 217 (2010), pp. 3050–3068] presented the block symmetric successive over-relaxation (BSSOR) and the modified BSSOR iteration methods based on the special structures of the coefficient matrices. In this study, we present the modified alternating direction-implicit (MADI) iteration method for solving the linear systems. Under suitable conditions, we establish convergence theorems for the MADI iteration method. In addition, the optimal parameter involved in the MADI iteration method is estimated in detail. Numerical experiments show that the MADI iteration method is a feasible and effective iterative solver.     

A mixed-precision algorithm for the solution of Lyapunov equations on hybrid CPU-GPU platforms

We describe a hybrid Lyapunov solver based on the matrix sign function, where the intensive parts of the computation are accelerated using a graphics processor (GPU) while executing the remaining operations on a general-purpose multi-core processor (CPU). The initial stage of the iteration operates in single-precision arithmetic, returning a low-rank factor of an approximate solution. As the main computation in this stage consists of explicit matrix inversions, we propose a hybrid implementation of Gauß-Jordan elimination using look-ahead to overlap computations on GPU and CPU. To improve the approximate solution, we introduce an iterative refinement procedure that allows to cheaply recover full double-precision accuracy. In contrast to earlier approaches to iterative refinement for Lyapunov equations, this approach retains the low-rank factorization structure of the approximate solution. The combination of the two stages results in a mixed-precision algorithm, that exploits the capabilities of both general-purpose CPUs and many-core GPUs and overlaps critical computations. Numerical experiments using real-world data and a platform equipped with two Intel Xeon QuadCore processors and an Nvidia Tesla C1060 show a significant efficiency gain of the hybrid method compared to a classical CPU implementation.     

基于低秩矩阵恢复与协同表征的人脸识别算法

针对人脸图像不完备的问题和人脸图像在不同视角、光照和噪声下所造成训练样本污损的问题,提出了一种快速的人脸识别算法--RPCA_CRC。首先,将人脸训练样本对应的矩阵D₀分解为类间低秩矩阵D和稀疏误差矩阵E;其次,以低秩矩阵D为基础,得到测试样本的协同表征;最后,通过重构误差进行分类。相对于基于稀疏表征的分类(SRC)方法,所提算法运行速度平均提高25倍;且在训练样本数不完备的情况下,识别率平均提升30%。实验证明该算法快速有效,识别率高。     

自适应图正则化的低秩非负矩阵分解算法

图正则化(nonnegative matrix factorization,NMF)算法(graph regularization nonnegative matrix factorization,GNMF)仍存在一些不足之处:GNMF算法并没有考虑数据的低秩结构;在GNMF算法中,其拉普拉斯图是使用K近邻(K nea...     

Recovering shape and motion by a dynamic system for low-rank matrix approximation in L 1 norm

To recover motion and shape matrices from a matrix of tracking feature points on a rigid object under orthography, we can do low-rank matrix approximation of the tracking matrix with its each column minus the row mean vector of the matrix. To obtain the row mean vector, usually 4-rank matrix approximation is used to recover the missing entries. Then, 3-rank matrix approximation is used to recover the shape and motion. Obviously, the procedure is not convenient. In this paper, we build a cost function which calculates the shape matrix, motion matrix as well as the row mean vector at the same time. The function is in L ₁ norm, and is not smooth everywhere. To optimize the function, a continuous-time dynamic system is newly proposed. With time going on, the product of the shape and rotation matrices becomes closer and closer, in L ₁-norm sense, to the tracking matrix with each its column minus the mean vector. A parameter is implanted into the system for improving the calculating efficiency, and the influence of the parameter on approximation accuracy and computational efficiency are theoretically studied and experimentally confirmed. The experimental results on a large number of synthetic data and a real application of structure from motion demonstrate the effectiveness and efficiency of the proposed method. The proposed system is also applicable to general low-rank matrix approximation in L ₁ norm, and this is also experimentally demonstrated.     

Successively alternate least square for low-rank matrix factorization with bounded missing data

The problem of low-rank matrix factorization with missing data has attracted many significant attention in the fields related to computer vision. The previous model mainly minimizes the total errors of the recovered low-rank matrix on observed entries. It may produce an optimal solution with less physical meaning. This paper gives a theoretical analysis of the sensitivities of the original model and proposes a modified constrained model and iterative methods for solving the constrained problem. We show that solutions of original model can be arbitrarily far from each others. Two kinds of sufficient conditions of this catastrophic phenomenon are given. In general case, we also give a low bound of error between an ?-optimal solution that is practically obtained in computation and a theoretically optimal solution. A constrained model on missing entries is considered for this missing data problem. We propose a two-step projection method for solving the constrained problem. We also modify the method by a successive alternate technique. The proposed algorithm, named as SALS, is easy to implement, as well as converges very fast even for a large matrix. Numerical experiments on simulation data and real examples are given to illuminate the algorithm behaviors of SALS.     

Manifold-respecting discriminant nonnegative matrix factorization

Nonnegative matrix factorization (NMF) is an unsupervised learning method for low-rank approximation of nonnegative data, where the target matrix is approximated by a product of two nonnegative factor matrices. Two important ingredients are missing in the standard NMF methods: (1) discriminant analysis with label information; (2) geometric structure (manifold) in the data. Most of the existing variants of NMF incorporate one of these ingredients into the factorization. In this paper, we present a variation of NMF which is equipped with both these ingredients, such that the data manifold is respected and label information is incorporated into the NMF. To this end, we regularize NMF by intra-class and inter-class k-nearest neighbor (k-NN) graphs, leading to NMF-kNN, where we minimize the approximation error while contracting intra-class neighborhoods and expanding inter-class neighborhoods in the decomposition. We develop simple multiplicative updates for NMF-kNN and present monotonic convergence results. Experiments on several benchmark face and document datasets confirm the useful behavior of our proposed method in the task of feature extraction.     

Change detection in SAR images based on matrix factorisation and a Bayes classifier

Change detection in synthetic aperture radar (SAR) images can be made as a matrix factorisation model, and it can detect the changes based on the foreground information in the image. However, these methods cannot obtain satisfactory results in the change detection of SAR images because reliable background data are often not available. In this article, we propose a matrix factorisation model based on a naïve Bayes classifier to explore the low-rank and sparse information, and then detect the changes in SAR images. The factorisation model of the low-rank and sparse matrix extracts both background and foreground information from images. From the low-rank and sparse matrices, we can get the background and foreground information recovered, respectively. Then by computing the mean and variance matrix of the unchanged and changed region information, we will obtain the statistical features. The statistical features are then used to build a naïve Bayes classifier, which is used to distinguish the change detection results, and all of them are based on the acquired data distribution. The experiments, which are based on four real data sets, indicate that the approach gets a better performance than some other state-of-the-art algorithms.     

联合矩阵F范数的低秩图像去噪

摘 要：目的：低秩矩阵恢复是通过最小化矩阵核范数来获得低秩解,然而待恢复低秩矩阵相关性低的要求往往会导致求解不稳定的情况。方法：针对该问题,研究一种基于变量分裂的低秩图像恢复去噪算法,引入待恢复矩阵的Frobenius范数作为新正则项,与原有低秩矩阵的核范数组成联合正则化项,对问题进行凸松弛后,采用变量分裂的增广拉格朗日乘子法求解。结果：为考察方法的稳定性和去噪能力,选取了不同参数类型的加噪图像进行仿真,并结合恢复时间、信噪比、差错率等评价标准与现有低秩矩阵恢复算法进行对比。结论：实验结果表明增加Frobenius范数的低秩矩阵恢复模型在保持原有低秩稀疏恢复的前提下,具有良好的去噪性能,对相关性强的低秩图像恢复结果稳定性好,获得了更高的信噪比。     

On the solution of the fuzzy Sylvester matrix equation

In this paper, we consider the fuzzy Sylvester matrix equation AX+XB=C,AX+XB=C, where A ? \mathbbR^{n ×n}A\in {\mathbb{R}}^{n \times n} and B ? \mathbbR^{m ×m}B\in {\mathbb{R}}^{m \times m} are crisp M-matrices, C is an n×mn\times m fuzzy matrix and X is unknown. We first transform this system to an (mn)×(mn)(mn)\times (mn) fuzzy system of linear equations. Then, we investigate the existence and uniqueness of a fuzzy solution to this system. We use the accelerated over-relaxation method to compute an approximate solution to this system. Some numerical experiments are given to illustrate the theoretical results.     

Hierarchical matrix arithmetic with accumulated updates

Hierarchical matrices can be used to construct efficient preconditioners for partial differential and integral equations by taking advantage of low-rank structures in triangular factorizations and inverses of the corresponding stiffness matrices. The setup phase of these preconditioners relies heavily on low-rank updates that are responsible for a large part of the algorithm’s total run-time, particularly for matrices resulting from three-dimensional problems. This article presents a new algorithm that significantly reduces the number of low-rank updates and can shorten the setup time by 50% or more.

     

Augmented Lagrangian alternating direction method for matrix separation based on low-rank factorization

The matrix separation problem aims to separate a low-rank matrix and a sparse matrix from their sum. This problem has recently attracted considerable research attention due to its wide range of potential applications. Nuclear-norm minimization models have been proposed for matrix separation and proved to yield exact separations under suitable conditions. These models, however, typically require the calculation of a full or partial singular value decomposition at every iteration that can become increasingly costly as matrix dimensions and rank grow. To improve scalability, in this paper, we propose and investigate an alternative approach based on solving a non-convex, low-rank factorization model by an augmented Lagrangian alternating direction method. Numerical studies indicate that the effectiveness of the proposed model is limited to problems where the sparse matrix does not dominate the low-rank one in magnitude, though this limitation can be alleviated by certain data pre-processing techniques. On the other hand, extensive numerical results show that, within its applicability range, the proposed method in general has a much faster solution speed than nuclear-norm minimization algorithms and often provides better recoverability.     

Origin-shifted algorithm for matrix eigenvalues

In this paper an origin-shifted algorithm for matrix eigenvalues based on Frobenius-like form of matrix and the quasi-Routh array for polynomial stability is given. First, using Householder's transformations, a general matrix A is reduced to upper Hessenberg form. Secondly, with scaling strategy, the origin-shifted Hessenberg matrices are reduced to the Frobenius-like forms. Thirdly, using quasi-Routh array, the Frobenius-like matrices are determined whether they are stable. Finally, we get the approximate eigenvalues of A with the largest real-part. All the eigenvalues of A are obtained with matrix deflation. The algorithm is numerically stable. In the algorithm, we describe the errors of eigenvalues using two quantities, shifted-accuracy and satisfactory-threshold. The results of numerical tests compared with QR algorithm show that the origin-shifted algorithm is fiducial and efficient for all the eigenvalues of general matrix or for all the roots of polynomial.