Chair of Numerical Algorithms and High-Performance Computing


Fall 2018:
Analyse I (Geman)
Low-rank approximation techniques
Septembre 2018 : Dr. Patrick Kürschner (Max-Planck-Institut für Dynamik komplexer technischer Systeme – Germany)
November 2018 : Prof. Michel Crouzeix (Université de Rennes 1 – France)
June 2017
Householder award XVI for Marcel Schweitzer.
Best poster award at Householder XX for Robert Luce.
June 2014
Householder award XV (honorable mention) for Cedric Effenberger.
Best poster prize for Ana Susnjara at IWASEP 10.
June 2013
Second prize at 16th IMA Leslie Fox Prize meeting for André Uschmajew for the paper Local Convergence of the Alternating Least Squares Algorithm for Canonical Tensor Approximation.
May 2013
SIAM outstanding paper prize 2013 awarded to Daniel Kressner and Christine Tobler for Krylov Subspace Methods for Linear Systems with Tensor Product Structure.
Spring 2017:
Computational Linear Algebra
A number of semester and Master projects is available, please contact Daniel Kressner for more details.
Subspace PSPA: A subspace method for computing the pseudospectral abscissa.
geomCG: Tensor completion by Riemannian optimization.
Hierarchical Tucker Toolbox: A MATLAB Toolbox for the construction and manipulation of tensors in the Hierarchical Tucker format.
Structured Eig Tool: A Matlab interface for plotting structured pseudospectra.

Recent publications

F. Statti. Polynomial bounds for European option pricing. Technical report, March 2019. (PDF, 675 kB)

D. Kressner, P. Kürschner, and S. Massei. Low-rank updates and divide-and-conquer methods for quadratic matrix equations. Technical report, March 2019. (PDF, 436 kB)

K. Glau, D. Kressner, and F. Statti. Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. Technical report, February 2019. (PDF, 965 kB)

A. Cortinovis, D. Kressner, and S. Massei. On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices. Technical report, February 2019. (PDF, 325 kB)

S. Hautphenne and S. Massei. A low-rank technique for computing the quasi-stationary distribution of subcritical Galton-Watson processes. Technical report, January 2019. (PDF, 1286 kB)

D. Kressner and A. Šušnjara. Fast QR decomposition of HODLR matrices. Technical report, September 2018. (PDF, 453 kB)

S. Massei, M. Mazza, and L. Robol. Fast solvers for 2D fractional diffusion equations using rank structured matrices. Technical report, April 2018. (PDF, 572 kB)

A. Šušnjara and D. Kressner. A fast spectral divide-and-conquer method for banded matrices. Technical report, January 2018. (PDF, 513 kB)

D. Kressner, S. Massei, and L. Robol. Low-rank updates and a divide-and-conquer method for linear matrix equations. Technical report, December 2017. (PDF, 522 kB)

A. Frommer, C. Schimmel, and M. Schweitzer. Bounds for the decay of the entries in inverses and Cauchy–Stieltjes functions of sparse, normal matrices. Technical report, April 2017. (PDF, 503 kB)

R. Luce and O. Sète. The index of singular zeros of harmonic mappings of anti-analytic degree one. Technical report, January 2017. (PDF, 1999 kB)

D. A. Bini, S. Massei, and L. Robol. Quasi-Toeplitz matrix arithmetic: a MATLAB toolbox. Numerical Algorithms, 2018. (PDF, 503 kB)

S. Massei, D. Palitta, and L. Robol. Solving rank-structured Sylvester and Lyapunov equations. SIAM Journal on Matrix Analysis and Applications, 39(4):1564–1590, 2018. (PDF, 695 kB)

D. Kressner. A Krylov subspace method for the approximation of bivariate matrix functions. Technical report, February 2018. Revised July 2018. To appear. (PDF, 234 kB)

D. Filipović, M. Larsson, and F. Statti. Unspanned Stochastic Volatility in the Multi-Factor CIR Model. Mathematical Finance, May 2017. To appear. (PDF, 367 kB)

N. Gillis and R. Luce. A Fast Gradient Method for Nonnegative Sparse Regression With Self-Dictionary. IEEE Transactions on Image Processing, 27(1):24–37, 2018. (PDF, 1504 kB)

D. Kressner, R. Luce, and F. Statti. Incremental computation of block triangular matrix exponentials with application to option pricing. Electron. Trans. Numer. Anal., 47:57–72, 2017. (PDF, 367 kB)

W. Hackbusch, D. Kressner, and A. Uschmajew. Perturbation of higher-order singular values. SIAM J. Appl. Algebra Geometry, 2017. To appear. (PDF, 196 kB)