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This survey describes probabilistic algorithms for linear algebra computations, such as factorizing matrices and solving linear systems. It focuses on techniques that have a proven track record for real-world problem instances. The paper…
A Random SubMatrix method (RSM) is proposed to calculate the low-rank decomposition of large-scale matrices with known entry percentage \rho. RSM is very fast as the floating-point operations (flops) required are compared favorably with the…
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…
The Nystrom method has been popular for generating the low-rank approximation of kernel matrices that arise in many machine learning problems. The approximation quality of the Nystrom method depends crucially on the number of selected…
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…
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…
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…
This paper surveys randomized algorithms in numerical linear algebra for low-rank decompositions of matrices and tensors. The survey begins with a review of classical matrix algorithms that can be accelerated by randomized dimensionality…
We present randomized algorithms for estimating the log-determinant of regularized symmetric positive semi-definite matrices. The algorithms access the matrix only through matrix vector products, and are based on the introduction of a…
The CUR matrix decomposition is an important extension of Nystr\"{o}m approximation to a general matrix. It approximates any data matrix in terms of a small number of its columns and rows. In this paper we propose a novel randomized CUR…
We consider the problem of robustifying high-dimensional structured estimation. Robust techniques are key in real-world applications which often involve outliers and data corruption. We focus on trimmed versions of structurally regularized…
We study the problem of robust matrix completion (RMC), where the partially observed entries of an underlying low-rank matrix is corrupted by sparse noise. Existing analysis of the non-convex methods for this problem either requires the…
We train a linear attention transformer on millions of masked-block matrix completion tasks: each prompt is masked low-rank matrix whose missing block may be (i) a scalar prediction target or (ii) an unseen kernel slice of Nystr\"om…
We present randomized algorithms for estimating the trace and deter- minant of Hermitian positive semi-definite matrices. The algorithms are based on subspace iteration, and access the matrix only through matrix vector products. We analyse…
We present a fast randomized algorithm that computes a low rank LU decomposition. Our algorithm uses random projections type techniques to efficiently compute a low rank approximation of large matrices. The randomized LU algorithm can be…
This thesis gives an overview of the state-of-the-art randomized linear algebra algorithms for singular value decomposition (SVD), including the presentation of existing pseudo-codes and theoretical error analysis. Our main focus is on…
We give the first algorithm for kernel Nystr\"om approximation that runs in *linear time in the number of training points* and is provably accurate for all kernel matrices, without dependence on regularity or incoherence conditions. The…
The Randomized Singular Value Decomposition (RSVD) is a widely used algorithm for efficiently computing low-rank approximations of large matrices, without the need to construct a full-blown SVD. Of interest, of course, is the approximation…
This survey explores modern approaches for computing low-rank approximations of high-dimensional matrices by means of the randomized SVD, randomized subspace iteration, and randomized block Krylov iteration. The paper compares the…
Generalized linear models are flexible tools for the analysis of diverse datasets, but the classical formulation requires that the parametric component is correctly specified and the data contain no atypical observations. To address these…