Related papers: Sketching for low-rank nonnegative matrix approxim…
High-dimensional representations, such as radial basis function networks or tile coding, are common choices for policy evaluation in reinforcement learning. Learning with such high-dimensional representations, however, can be expensive,…
Random projections or sketching are widely used in many algorithmic and learning contexts. Here we study the performance of iterative Hessian sketch for least-squares problems. By leveraging and extending recent results from random matrix…
Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which…
The problem of approximating a matrix by a low-rank one has been extensively studied. This problem assumes, however, that the whole matrix has a low-rank structure. This assumption is often false for real-world matrices. We consider the…
Generalized matrix approximation plays a fundamental role in many machine learning problems, such as CUR decomposition, kernel approximation, and matrix low rank approximation. Especially with today's applications involved in larger and…
The Nystr\"om method is a popular choice for finding a low-rank approximation to a symmetric positive semi-definite matrix. The method can fail when applied to symmetric indefinite matrices, for which the error can be unboundedly large. In…
Randomization has emerged as a powerful set of tools for large-scale matrix and tensor decompositions. Randomized algorithms involve computing sketches with random matrices. A prevalent approach is to take the random matrix as a standard…
We consider the problem of recovering an $n_1 \times n_2$ low-rank matrix with $k$-sparse singular vectors from a small number of linear measurements (sketch). We propose a sketching scheme and an algorithm that can recover the singular…
Among randomized numerical linear algebra strategies, so-called sketching procedures are emerging as effective reduction means to accelerate the computation of Krylov subspace methods for, e.g., the solution of linear systems, eigenvalue…
We introduce a technique for estimating a structured covariance matrix from observations of a random vector which have been sketched. Each observed random vector $\boldsymbol{x}_t$ is reduced to a single number by taking its inner product…
This paper presents two novel algorithms for approximately projecting symmetric matrices onto the Positive Semidefinite (PSD) cone using Randomized Numerical Linear Algebra (RNLA). Classical PSD projection methods rely on full-rank…
Optimization problems with rank constraints arise in many applications, including matrix regression, structured PCA, matrix completion and matrix decomposition problems. An attractive heuristic for solving such problems is to factorize the…
This letter proposes to estimate low-rank matrices by formulating a convex optimization problem with non-convex regularization. We employ parameterized non-convex penalty functions to estimate the non-zero singular values more accurately…
We study the convergence of specific inexact alternating projections for two non-convex sets in a Euclidean space. The $\sigma$-quasioptimal metric projection ($\sigma \geq 1$) of a point $x$ onto a set $A$ consists of points in $A$ the…
Detecting emergence of a low-rank signal from high-dimensional data is an important problem arising from many applications such as camera surveillance and swarm monitoring using sensors. We consider a procedure based on the largest…
Rational approximation is a powerful tool to obtain accurate surrogates for nonlinear functions that are easy to evaluate and linearize. The interpolatory adaptive Antoulas--Anderson (AAA) method is one approach to construct such…
Matrix sketching is a powerful tool for reducing the size of large data matrices. Yet there are fundamental limitations to this size reduction when we want to recover an accurate estimator for a task such as least square regression. We show…
We develop computational methods for approximating the solution of a linear multi-term matrix equation in low rank. We follow an alternating minimization framework, where the solution is represented as a product of two matrices, and…
We introduce co-occurring directions sketching, a deterministic algorithm for approximate matrix product (AMM), in the streaming model. We show that co-occuring directions achieves a better error bound for AMM than other randomized and…
In this work, we propose a new randomized algorithm for computing a low-rank approximation to a given matrix. Taking an approach different from existing literature, our method first involves a specific biased sampling, with an element being…