Related papers: Efficient error and variance estimation for random…

Randomized algorithms in numerical linear algebra have proven to be effective in ameliorating issues of scalability when working with large matrices, efficiently producing accurate low-rank approximations. A key remaining challenge,…

Covariance matrix estimation, a classical statistical topic, poses significant challenges when the sample size is comparable to or smaller than the number of features. In this paper, we frame covariance matrix estimation as a compound…

Matrices with low-rank structure are ubiquitous in scientific computing. Choosing an appropriate rank is a key step in many computational algorithms that exploit low-rank structure. However, estimating the rank has been done largely in an…

A classical problem in matrix computations is the efficient and reliable approximation of a given matrix by a matrix of lower rank. The truncated singular value decomposition (SVD) is known to provide the best such approximation for any…

In recent years, randomized algorithms have established themselves as fundamental tools in computational linear algebra, with applications in scientific computing, machine learning, and quantum information science. Many randomized matrix…

This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as…

In non-linear estimations, it is common to assess sampling uncertainty by bootstrap inference. For complex models, this can be computationally intensive. This paper combines optimization with resampling: turning stochastic optimization into…

Learning-based low rank approximation algorithms can significantly improve the performance of randomized low rank approximation with sketch matrix. With the learned value and fixed non-zero positions for sketch matrices from learning-based…

The development of randomized algorithms for numerical linear algebra, e.g. for computing approximate QR and SVD factorizations, has recently become an intense area of research. This paper studies one of the most frequently discussed…

Randomized algorithms provide solutions to two ubiquitous problems: (1) the distributed calculation of a principal component analysis or singular value decomposition of a highly rectangular matrix, and (2) the distributed calculation of a…

Randomized algorithms are overwhelming methods for low-rank approximation that can alleviate the computational expenditure with great reliability compared to deterministic algorithms. A crucial thought is generating a standard Gaussian…

Low-rank approximation of a matrix by means of random sampling has been consistently efficient in its empirical studies by many scientists who applied it with various sparse and structured multipliers, but adequate formal support for this…

This paper presents a randomized algorithm for computing the near-optimal low-rank dynamic mode decomposition (DMD). Randomized algorithms are emerging techniques to compute low-rank matrix approximations at a fraction of the cost of…

A general jackknife estimator for the asymptotic covariance of moment estimators is considered in the case when the sample is taken from a mixture with varying concentrations of components. Consistency of the estimator is demonstrated. A…

We present a fast and robust alternative method to compute covariance matrix in case of cosmology studies. Our method is based on the jackknife resampling applied on simulation mock catalogues. Using a set of 600 BOSS DR11 mock catalogues…

Randomized algorithms for low-rank approximation of quaternion matrices have gained increasing attention in recent years. However, existing methods overlook pass efficiency, the ability to limit the number of passes over the input…

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…

We consider the problem of estimation of a low-rank matrix from a limited number of noisy rank-one projections. In particular, we propose two fast, non-convex \emph{proper} algorithms for matrix recovery and support them with rigorous…

We propose a randomized a posteriori error estimator for reduced order approximations of parametrized (partial) differential equations. The error estimator has several important properties: the effectivity is close to unity with prescribed…

Random Fourier Features (RFF) is among the most popular and broadly applicable approaches for scaling up kernel methods. In essence, RFF allows the user to avoid costly computations on a large kernel matrix via a fast randomized…