93 citations · 746 across the 53 of their papers we have counts for
7 papers · 1 filter
Randomly sparsified Richardson iteration: A dimension-independent sparse linear solver
Jonathan Weare, Robert J. Webber
Recently, a class of algorithms combining classical fixed point iterations with repeated random sparsification of approximate solution vectors has been successfully applied to eige…
Approximating matrix eigenvalues by subspace iteration with repeated random sparsification
Samuel M. Greene, Robert J. Webber, Timothy C. Berkelbach +1
Traditional numerical methods for calculating matrix eigenvalues are prohibitively expensive for high-dimensional problems. Iterative random sparsification methods allow for the es…
Error bounds for dynamical spectral estimation
Robert J. Webber, Erik H. Thiede, Douglas Dow +2
Dynamical spectral estimation is a well-established numerical approach for estimating eigenvalues and eigenfunctions of the Markov transition operator from trajectory data. Althoug…
Fast randomized iteration: diffusion Monte Carlo through the lens of numerical linear algebra
Lek-Heng Lim, Jonathan Weare
We review the basic outline of the highly successful diffusion Monte Carlo technique commonly used in contexts ranging from electronic structure calculations to rare event simulati…
Sharp entrywise perturbation bounds for Markov chains
Erik Thiede, Brian Van Koten, Jonathan Weare
For many Markov chains of practical interest, the invariant distribution is extremely sensitive to perturbations of some entries of the transition matrix, but insensitive to others…
Variance reduction for particle filters of systems with time-scale separation
Dror Givon, Panagiotis Stinis, Jonathan Weare
We present a particle filter construction for a system that exhibits time-scale separation. The separation of time-scales allows two simplifications that we exploit: i) The use of…
Efficient Monte Carlo sampling by parallel marginalization
Jonathan Weare
Markov chain Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In thi…