A Multilevel Monte Carlo Estimator for Matrix Multiplication
Numerical Analysis
2020-04-30 v3 Numerical Analysis
Abstract
Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is particularly effective in handling high-dimensional inner products and matrix multiplication, in applications of image analysis and large-scale supervised learning.
Cite
@article{arxiv.1904.00429,
title = {A Multilevel Monte Carlo Estimator for Matrix Multiplication},
author = {Yue Wu and Nick Polydorides},
journal= {arXiv preprint arXiv:1904.00429},
year = {2020}
}
Comments
23 pages, 3 figures