16.07.2018 16:00 Dr. Robert Luce:
Seeing structured matrices through the low-rank lensMI 01.10.011 (Boltzmannstr. 3, 85748 Garching)
The mathematical formulation of real-world problems often leads to to linear algebraic equations with structured coefficient matrices, and taking algorithmic advantage of such structure in essential for an efficient solution process. We will discuss three examples where an implicit low-rank property induced by suitable displacement operators leads to fast algorithms with structured matrices: (i) The problem of approximating a given matrix with a Cauchy matrix, (ii) option pricing through the Toeplitz matrix exponential, and (iii) computing the Cholesky factorization of a Toeplitz-plus-Hankel matrix arising in an inverse scattering problem.