Related papers: Pivoted Cholesky decomposition by Cross Approximat…

Recently popularized randomized methods for principal component analysis (PCA) efficiently and reliably produce nearly optimal accuracy --- even on parallel processors --- unlike the classical (deterministic) alternatives. We adapt one of…

A general framework for principal component analysis (PCA) in the presence of heteroskedastic noise is introduced. We propose an algorithm called HeteroPCA, which involves iteratively imputing the diagonal entries of the sample covariance…

A new runtime environment for the execution of recursive matrix algorithms on a supercomputer with distributed memory is proposed. It is designed both for dense and sparse matrices. The environment ensures decentralized control of the…

We investigate the continuous analogue of the Cholesky factorization, namely the pivoted Cholesky algorithm. Our analysis establishes quantitative convergence guarantees for kernels of minimal smoothness. We prove that for a symmetric…

Canonical polyadic decomposition (CPD) is at the core of fast matrix multiplication, a computational problem with widespread implications across several seemingly unrelated problems in computer science. Much recent progress in this field…

We present a novel and efficient implementation of coupled-cluster with singles and doubles (CCSD) analytic gradients that combines the Cholesky decomposition (CD) of electron-repulsion integrals with the exploitation of Abelian point-group…

Based on the column pivoted QR decomposition, we propose some randomized algorithms including pass-efficient ones for the generalized CUR decompositions of matrix pair and matrix triplet. Detailed error analyses of these algorithms are…

In this paper, we focus on efficient methods to solve discretized linear systems obtained from eddy current optimal control problems in an all-at-once approach. We construct a new low-rank matrix equation method based on a special splitting…

Scaling the size of monolithic quantum computer systems is a difficult task. As the number of qubits within a device increases, a number of factors contribute to decreases in yield and performance. To meet this challenge, distributed…

We consider the problem of decomposing a large covariance matrix into the sum of a low-rank matrix and a diagonally dominant matrix, and we call this problem the "Diagonally-Dominant Principal Component Analysis (DD-PCA)". DD-PCA is an…

The modified Cholesky decomposition is popular for inverse covariance estimation, but often needs pre-specification on the full information of variable ordering. In this work, we propose a block Cholesky decomposition (BCD) for estimating…

We propose a new algorithm for efficiently solving the damped Fisher matrix in large-scale scenarios where the number of parameters significantly exceeds the number of available samples. This problem is fundamental for natural gradient…

Many high-dimensional uncertainty quantification problems are solved by polynomial dimensional decomposition (PDD), which represents Fourier-like series expansion in terms of random orthonormal polynomials with increasing dimensions. This…

This paper proposes fast randomized algorithms for computing the Kronecker Tensor Decomposition (KTD). The proposed algorithms can decompose a given tensor into the KTD format much faster than the existing state-of-the-art algorithms. Our…

Recovering a low-rank matrix from highly corrupted measurements arises in compressed sensing of structured high-dimensional signals (e.g., videos and hyperspectral images among others). Robust principal component analysis (RPCA), solved via…

The Canonical Polyadic decomposition (CPD) is a convenient and intuitive tool for tensor factorization; however, for higher-order tensors, it often exhibits high computational cost and permutation of tensor entries, these undesirable…

We present an algorithm where only the Cholesky basis is determined in the decomposition procedure. This allows for improved screening and a partitioned matrix decomposition scheme, both of which significantly reduce memory usage and…

Cholesky factorization is a widely used method for solving linear systems involving symmetric, positive-definite matrices, and can be an attractive choice in applications where a high degree of numerical stability is needed. One such…

Distributed algorithms and theories are called for in this era of big data. Under weaker local signal-to-noise ratios, we improve upon the celebrated one-round distributed principal component analysis (PCA) algorithm designed in the spirit…

The CUR decomposition is a technique for low-rank approximation that selects small subsets of the columns and rows of a given matrix to use as bases for its column and rowspaces. It has recently attracted much interest, as it has several…