Fast solution of Sylvester-structured systems for spatial source separation of the Cosmic Microwave Background
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Implementation of many statistical methods for large, multivariate data sets requires one to solve a linear system that, depending on the method, is of the dimension of the number of observations or each individual data vector. This is often the limiting factor in scaling the method with data size and complexity. In this paper we illustrate the use of Krylov subspace methods to address this issue in a statistical solution to a source separation problem in cosmology where the data size is prohibitively large for direct solution of the required system. Two distinct approaches are described: one that uses the method of conjugate gradients directly to the Kronecker-structured problem and another that reformulates the system as a Sylvester matrix equation. We show that both approaches produce an accurate solution within an acceptable computation time and with practical memory requirements for the data size that is currently available.
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