Related papers: Randomized sketching of nonlinear eigenvalue probl…
In recent years, randomized methods for numerical linear algebra have received growing interest as a general approach to large-scale problems. Typically, the essential ingredient of these methods is some form of randomized dimension…
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…
Dimensionality reduction via linear sketching is a powerful and widely used technique, but it is known to be vulnerable to adversarial inputs. We study the black-box adversarial setting, where a fixed, hidden sketching matrix $A \in R^{k…
Probabilistic ideas and tools have recently begun to permeate into several fields where they had traditionally not played a major role, including fields such as numerical linear algebra and optimization. One of the key ways in which these…
Sample-average approximations (SAA) are a practical means of finding approximate solutions of stochastic programming problems involving an extremely large (or infinite) number of scenarios. SAA can also be used to find estimates of a lower…
A substantial body of work in machine learning (ML) and randomized numerical linear algebra (RandNLA) has exploited various sorts of random sketching methodologies, including random sampling and random projection, with much of the analysis…
The AAA algorithm for rational approximation is employed to illustrate applications of rational functions all across numerical analysis.
This paper studies how to sketch element-wise functions of low-rank matrices. Formally, given low-rank matrix A = [Aij] and scalar non-linear function f, we aim for finding an approximated low-rank representation of the (possibly high-rank)…
We study the problem of constructing a linear sketch of minimum dimension that allows approximation of a given real-valued function $f \colon \mathbb{F}_2^n \rightarrow \mathbb R$ with small expected squared error. We develop a general…
Unitary best approximation to the exponential function on an interval on the imaginary axis has been introduced recently. In the present work two algorithms are considered to compute this best approximant: an algorithm based on rational…
We propose a randomized second-order method for optimization known as the Newton Sketch: it is based on performing an approximate Newton step using a randomly projected or sub-sampled Hessian. For self-concordant functions, we prove that…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
We consider least-squares problems with quadratic regularization and propose novel sketching-based iterative methods with an adaptive sketch size. The sketch size can be as small as the effective dimension of the data matrix to guarantee…
We study randomized sketching methods for approximately solving least-squares problem with a general convex constraint. The quality of a least-squares approximation can be assessed in different ways: either in terms of the value of the…
We consider the problem of finding anomalies in high-dimensional data using popular PCA based anomaly scores. The naive algorithms for computing these scores explicitly compute the PCA of the covariance matrix which uses space quadratic in…
We consider solving equality-constrained nonlinear, nonconvex optimization problems. This class of problems appears widely in a variety of applications in machine learning and engineering, ranging from constrained deep neural networks, to…
Archetypal analysis is a matrix factorization method with convexity constraints. Due to local minima, a good initialization is essential, but frequently used initialization methods yield either sub-optimal starting points or are prone to…
The computation of f(A)b, the action of a matrix function on a vector, is a task arising in many areas of scientific computing. In many applications, the matrix A is sparse but so large that only a rather small number of Krylov basis…
This paper describes novel algorithms for the identification of (almost-)resonant behavior in scattering problems. Our methods, relying on rational approximation, aim at building surrogate models of what we call "field amplification",…
Randomized linear system solvers have become popular as they have the potential to reduce floating point complexity while still achieving desirable convergence rates. One particularly promising class of methods, random sketching solvers,…