Related papers: Approximating the Spectral Sums of Large-scale Mat…
Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be…
We propose an algorithm that approximates a given matrix polynomial of degree $d$ by another skew-symmetric matrix polynomial of a specified rank and degree at most $d$. The algorithm is built on recent advances in the theory of generic…
Randomized algorithms for very large matrix problems have received a great deal of attention in recent years. Much of this work was motivated by problems in large-scale data analysis, and this work was performed by individuals from many…
Markov chain Monte Carlo (MCMC) algorithms have become powerful tools for Bayesian inference. However, they do not scale well to large-data problems. Divide-and-conquer strategies, which split the data into batches and, for each batch, run…
Based on information theory, we present a method to determine an optimal Markov approximation for modelling and prediction from time series data. The method finds a balance between minimal modelling errors by taking as much as possible…
It is a critical issue to compute the shortest paths between nodes in networks. Exact algorithms for shortest paths are usually inapplicable for large scale networks due to the high computational complexity. In this paper, we propose a…
Stochastic approximation algorithm is a useful technique which has been exploited successfully in probability theory and statistics for a long time. The step sizes used in stochastic approximation are generally taken to be deterministic and…
This is the second of two papers to describe a matrix sparsification algorithm that takes a general real or complex matrix as input and produces a sparse output matrix of the same size. The first paper presented the original algorithm, its…
We use available measurements to estimate the unknown parameters (variance, smoothness parameter, and covariance length) of a covariance function by maximizing the joint Gaussian log-likelihood function. To overcome cubic complexity in the…
The dominant cost in solving least-square problems using Newton's method is often that of factorizing the Hessian matrix over multiple values of the regularization parameter ($\lambda$). We propose an efficient way to interpolate the…
Gaussian processes are widely used as priors for unknown functions in statistics and machine learning. To achieve computationally feasible inference for large datasets, a popular approach is the Vecchia approximation, which is an ordered…
Spectral clustering is a widely studied problem, yet its complexity is prohibitive for dynamic graphs of even modest size. We claim that it is possible to reuse information of past cluster assignments to expedite computation. Our approach…
The challenge to measure exposures regularly forces financial institutions into a choice between an overwhelming computational burden or oversimplification of risk. To resolve this unsettling dilemma, we systematically investigate replacing…
For a function that is analytic on and around an interval, Chebyshev polynomial interpolation provides spectral convergence. However, if the function has a singularity close to the interval, the rate of convergence is near one. In these…
Matrix multiplication is a fundamental computation in many scientific disciplines. In this paper, we show that novel fast matrix multiplication algorithms can significantly outperform vendor implementations of the classical algorithm and…
The Nystrom method is an efficient technique used to speed up large-scale learning applications by generating low-rank approximations. Crucial to the performance of this technique is the assumption that a matrix can be well approximated by…
We present a kernel-independent method that applies hierarchical matrices to the problem of maximum likelihood estimation for Gaussian processes. The proposed approximation provides natural and scalable stochastic estimators for its…
We analyze the Lanczos method for matrix function approximation (Lanczos-FA), an iterative algorithm for computing $f(\mathbf{A}) \mathbf{b}$ when $\mathbf{A}$ is a Hermitian matrix and $\mathbf{b}$ is a given vector. Assuming that $f :…
This paper studies the problem of maximizing the sum of traces of matrix quadratic forms on a product of Stiefel manifolds. This orthogonal trace-sum maximization (OTSM) problem generalizes many interesting problems such as generalized…
When approximating elliptic problems by using specialized approximation techniques, we obtain large structured matrices whose analysis provides information on the stability of the method. Here we provide spectral and norm estimates for…