Related papers: A Note on Random Sampling for Matrix Multiplicatio…
The objective of this paper is to investigate a new numerical method for the approximation of the self-diffusion matrix of a tagged particle process defined on a grid. While standard numerical methods make use of long-time averages of…
We propose a new sampling-based approach for approximate inference in filtering problems. Instead of approximating conditional distributions with a finite set of states, as done in particle filters, our approach approximates the…
Adaptive sampling algorithms are modern and efficient methods that dynamically adjust the sample size throughout the optimization process. However, they may encounter difficulties in risk-averse settings, particularly due to the challenge…
We study the problem of approximating an unknown function $f:\mathbb{R}\to\mathbb{R}$ by a degree-$d$ polynomial using as few function evaluations as possible, where error is measured with respect to a probability distribution $\mu$.…
In computational inverse problems, it is common that a detailed and accurate forward model is approximated by a computationally less challenging substitute. The model reduction may be necessary to meet constraints in computing time when…
This paper deals with the problem of robust matrix completion -- retrieving a low-rank matrix and a sparse matrix from the compressed counterpart of their superposition. Though seemingly not an unresolved issue, we point out that the…
In this talk we go over several new developments regarding the techniques for a large class of non-hermitian matrix models with unitary randomness (complex random numbers). In particular, we discuss: (a) - A diagrammatic approach based on a…
Quantum-inspired classical algorithms provide us with a new way to understand the computational power of quantum computers for practically-relevant problems, especially in machine learning. In the past several years, numerous efficient…
The matrix completion problem aims to reconstruct a low-rank matrix based on a revealed set of possibly noisy entries. Prior works consider completing the entire matrix with generalization error guarantees. However, the completion accuracy…
Given a parametric polynomial curve $\gamma:[a,b]\rightarrow \mathbb{R}^n$, how can we sample a random point $\mathfrak{x}\in \mathrm{im}(\gamma)$ in such a way that it is distributed uniformly with respect to the arc-length? Unfortunately,…
We apply a method recently introduced to the statistical literature to directly estimate the precision matrix from an ensemble of samples drawn from a corresponding Gaussian distribution. Motivated by the observation that cosmological…
In the numerical treatment of large-scale Sylvester and Lyapunov equations, projection methods require solving a reduced problem to check convergence. As the approximation space expands, this solution takes an increasing portion of the…
We reinterpret multiplicative noise in neural networks as auxiliary random variables that augment the approximate posterior in a variational setting for Bayesian neural networks. We show that through this interpretation it is both efficient…
We consider the problem of uniform sampling of points on an algebraic variety. Specifically, we develop a randomized algorithm that, given a small set of multivariate polynomials over a sufficiently large finite field, produces a common…
Several recent randomized linear algebra algorithms rely upon fast dimension reduction methods. A popular choice is the Subsampled Randomized Hadamard Transform (SRHT). In this article, we address the efficacy, in the Frobenius and spectral…
The Randomized Kaczmarz Algorithm is a randomized method which aims at solving a consistent system of over determined linear equations. This note discusses how to find an optimized randomization scheme for this algorithm, which is related…
Consider a probability measure supported by a regular geodesic ball in a manifold. For any p larger than or equal to 1 we define a stochastic algorithm which converges almost surely to the p-mean of the measure. Assuming furthermore that…
Solving the generalized eigenvalue problem is a useful method for finding energy eigenstates of large quantum systems. It uses projection onto a set of basis states which are typically not orthogonal. One needs to invert a matrix whose…
We analyze two classical algorithms for solving additively composite convex optimization problems where the objective is the sum of a smooth term and a nonsmooth regularizer: proximal stochastic gradient method for a single regularizer; and…
Sparse matrix factorization is a popular tool to obtain interpretable data decompositions, which are also effective to perform data completion or denoising. Its applicability to large datasets has been addressed with online and randomized…