We consider the solution of large-scale Lyapunov and Stein equations. For Stein equations, the well-known Smith method will be adapted, with A_k = A^{2^k} not explicitly computed but in the recursive form A_k = A^{2^k}, and the fast growing but diminishing components in the approximate solutions truncated. Lyapunov equations will be first treated with the Cayley transform before the Smith method is applied. For algebraic equations with numerically low-ranked solutions of dimension <i>n</i>, the resulting algorithms are of an efficient <i>O</i>(<i>n</i>) computational complexity and memory requirement per iteration and converge essentially quadratically. An application in the estimation of a lower bound of the condition number for continuous-time algebraic Riccati equations is presented, as well as some numerical results.

In this paper, we compute the stationary states of the multicomponent phase-field crystal model by formulating it as a block constrained minimization problem. The original infinite-dimensional non-convex minimization problem is approximated by a finite-dimensional constrained non-convex minimization problem after an appropriate spatial discretization. To efficiently solve the above optimization problem, we propose a so-called adaptive block Bregman proximal gradient (AB-BPG) algorithm that fully exploits the problem's block structure. The proposed method updates each order parameter alternatively, and the update order of blocks can be chosen in a deterministic or random manner. Besides, we choose the step size by developing a practical linear search approach such that the generated sequence either keeps energy dissipation or has a controllable subsequence with energy dissipation. The convergence property of the proposed method is established without the requirement of global Lipschitz continuity of the derivative of the bulk energy part by using the Bregman divergence. The numerical results on computing stationary ordered structures in binary, ternary, and quinary component coupled-mode Swift-Hohenberg models have shown a significant acceleration over many existing methods.

This article focuses on the discrete double-curl operator arising in the Maxwell equation that models three dimensional photonic crystals with face centered cubic lattice. The discrete double-curl operator is the degenerate coefficient matrix of the generalized eigenvalue problems (GEVP) due to the Maxwell equation. We derive an eigendecomposition of the degenerate coefficient matrix and explore an explicit form of orthogonal basis for the range and null spaces of this matrix. To solve the GEVP, we apply these theoretical results to project the GEVP to a standard eigenvalue problem (SEVP), which involves only the eigenspace associated with the nonzero eigenvalues of the GEVP and therefore the zero eigenvalues are excluded and will not degrade the computational efficiency. This projected SEVP can be solved efficiently by the inverse Lanczos method. The linear systems within the inverse Lanczos method are well-conditioned and can be solved efficiently by the conjugate gradient method without using a preconditioner. We also demonstrate how two forms of matrix-vector multiplications, which are the most costly part of the inverse Lanczos method, can be computed by fast Fourier transformation due to the eigendecomposition to significantly reduce the computation cost. Integrating all of these findings and techniques, we obtain a fast eigenvalue solver. The solver has been implemented by MATLAB and successfully solves each of a set of $5.184$ million dimension eigenvalue problems within $50$ to $104$ minutes on a workstation with two Intel Quad-C ore Xeon X5687 3.6 GHz CPUs.

We propose a computational framework named iterative local adaptive majorize-minimization (I-LAMM) to simultaneously control algorithmic complexity and statistical error when fitting high dimensional models. I-LAMM is a two-stage algorithmic implementation of the local linear approximation to a family of folded concave penalized quasi-likelihood. The first stage solves a convex program with a crude precision tolerance to obtain a coarse initial estimator, which is further refined in the second stage by iteratively solving a sequence of convex programs with smaller precision tolerances. Theoretically, we establish a phase transition: the first stage has a sublinear iteration complexity, while the second stage achieves an improved linear rate of convergence. Though this framework is completely algorithmic, it provides solutions with optimal statistical performances and controlled algorithmic complexity for a large family

We propose a dynamically bi-orthogonal method (DyBO) to solve time dependent stochastic partial differential equations (SPDEs). The objective of our method is to exploit some intrinsic sparse structure in the stochastic solution by constructing the sparsest representation of the stochastic solution via a bi-orthogonal basis. It is well-known that the KarhunenLoeve expansion (KLE) minimizes the total mean squared error and gives the sparsest representation of stochastic solutions. However, the computation of the KL expansion could be quite expensive since we need to form a covariance matrix and solve a large-scale eigenvalue problem. The main contribution of this paper is that we derive an equivalent system that governs the evolution of the spatial and stochastic basis in the KL expansion. Unlike other reduced model methods, our method constructs the reduced basis on-the-fly without the need to form the