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Sketched gradient algorithms have been recently introduced for efficiently solving the large-scale constrained Least-squares regressions. In this paper we provide novel convergence analysis for the basic method {\it Gradient Projection…
The low multilinear rank approximation, also known as the truncated Tucker decomposition, has been extensively utilized in many applications that involve higher-order tensors. Popular methods for low multilinear rank approximation usually…
This paper addresses matrix approximation problems for matrices that are large, sparse and/or that are representations of large graphs. To tackle these problems, we consider algorithms that are based primarily on coarsening techniques,…
This paper considers the sparse eigenvalue problem, which is to extract dominant (largest) sparse eigenvectors with at most $k$ non-zero components. We propose a simple yet effective solution called truncated power method that can…
The Graphical Lasso (GLasso) algorithm is fast and widely used for estimating sparse precision matrices (Friedman et al., 2008). Its central role in the literature of high-dimensional covariance estimation rivals that of Lasso regression…
This article presents svds-C, an open-source and high-performance C program for accurately and robustly computing truncated SVD, e.g. computing several largest singular values and corresponding singular vectors. We have re-implemented the…
For a given matrix subspace, how can we find a basis that consists of low-rank matrices? This is a generalization of the sparse vector problem. It turns out that when the subspace is spanned by rank-1 matrices, the matrices can be obtained…
Computing the null space of a large sparse matrix $A$ is a challenging computational problem, especially if the nullity -- the dimension of the null space -- is not small. When applying a block Lanczos method to $A^\mathsf{T} A$ for this…
We study the estimation of the latent variable Gaussian graphical model (LVGGM), where the precision matrix is the superposition of a sparse matrix and a low-rank matrix. In order to speed up the estimation of the sparse plus low-rank…
In this paper we propose and analyze an algorithm for identifying spectral gaps of a real symmetric matrix $A$ by simultaneously approximating the traces of spectral projectors associated with multiple different spectral slices. Our method…
We study the problem of finding structured low-rank matrices using nuclear norm regularization where the structure is encoded by a linear map. In contrast to most known approaches for linearly structured rank minimization, we do not (a) use…
We describe novel subgradient methods for a broad class of matrix optimization problems involving nuclear norm regularization. Unlike existing approaches, our method executes very cheap iterations by combining low-rank stochastic…
We present a distributed-memory library for computations with dense structured matrices. A matrix is considered structured if its off-diagonal blocks can be approximated by a rank-deficient matrix with low numerical rank. Here, we use…
This paper describes Sparse Frequent Directions, a variant of Frequent Directions for sketching sparse matrices. It resembles the original algorithm in many ways: both receive the rows of an input matrix $A^{n \times d}$ one by one in the…
Large-scale eigenvalue computations on sparse matrices are a key component of graph analytics techniques based on spectral methods. In such applications, an exhaustive computation of all eigenvalues and eigenvectors is impractical and…
Recent years have witnessed the popularity of using rank minimization as a regularizer for various signal processing and machine learning problems. As rank minimization problems are often converted to nuclear norm minimization (NNM)…
We consider a fast approximation method for a solution of a certain stochastic non-local pseudodifferential equation. This equation defines a Mat\'ern class random field. The approximation method is based on the spectral compactness of the…
The block Lanczos algorithm proposed by Peter Montgomery is an efficient means to tackle the sparse linear algebra problem which arises in the context of the number field sieve factoring algorithm and its predecessors. We present here a…
The singular value decomposition (SVD) is a powerful tool in modern numerical linear algebra, which underpins computational methods such as principal component analysis (PCA), low-rank approximations, and randomized algorithms. Many…
This paper revisits the error analysis of the Stochastic Lanczos Quadrature (SLQ) method for approximating the trace of matrix functions, with a specific focus on asymmetric Lanczos quadrature rules. We reexplain an existing theoretical…