Related papers: A multilevel sketch-and-solve method for overdeter…
Randomized algorithms can be used to speed up the analysis of large datasets. In this paper, we develop a unified methodology for statistical inference via randomized sketching or projections in two of the most fundamental problems in…
In this work, we consider the deterministic optimization using random projections as a statistical estimation problem, where the squared distance between the predictions from the estimator and the true solution is the error metric. In…
We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be computed via simulations conditionally on the realisation of…
Sample average approximation (SAA) is a technique for obtaining approximate solutions to stochastic programs that uses the average from a random sample to approximate the expected value that is being optimized. Since the outcome from…
We present Sketch 'n Solve, an open-source Python package that implements efficient randomized numerical linear algebra (RandNLA) techniques for solving large-scale least squares problems. While sketch-and-solve algorithms have demonstrated…
Large sample size brings the computation bottleneck for modern data analysis. Subsampling is one of efficient strategies to handle this problem. In previous studies, researchers make more fo- cus on subsampling with replacement (SSR) than…
We propose iterative projection methods for solving square or rectangular consistent linear systems Ax = b. Existing projection methods use sketching matrices (possibly randomized) to generate a sequence of small projected subproblems, but…
Random sketching is a dimensionality reduction technique that approximately preserves norms and singular values up to some $O(1)$ distortion factor with high probability. The most popular sketches in literature are the Gaussian sketch and…
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…
The randomized row method is a popular representative of the iterative algorithm because of its efficiency in solving the overdetermined and consistent systems of linear equations. In this paper, we present an extended randomized multiple…
Matrices arising in scientific applications frequently admit linear low-rank approximations due to smoothness in the physical and/or temporal domain of the problem. In large-scale problems, computing an optimal low-rank approximation can be…
Constrained least squares problems arise in many applications. Their memory and computation costs are expensive in practice involving high-dimensional input data. We employ the so-called "sketching" strategy to project the least squares…
Linear regression is a classic method of data analysis. In recent years, sketching -- a method of dimension reduction using random sampling, random projections, or both -- has gained popularity as an effective computational approximation…
We develop two fundamental stochastic sketching techniques; Penalty Sketching (PS) and Augmented Lagrangian Sketching (ALS) for solving consistent linear systems. The proposed PS and ALS techniques extend and generalize the scope of Sketch…
Iterative sketching and sketch-and-precondition are well-established randomized algorithms for solving large-scale, over-determined linear least-squares problems. In this paper, we introduce a new perspective that interprets Iterative…
In this work we present a new simple but efficient scheme - Subsquares approach - for development of algorithms for enclosing the solution set of overdetermined interval linear systems. We are going to show two algorithms based on this…
A challenge in high-dimensional inverse problems is developing iterative solvers to find the accurate solution of regularized optimization problems with low computational cost. An important example is computed tomography (CT) where both…
Scaled sparse linear regression jointly estimates the regression coefficients and noise level in a linear model. It chooses an equilibrium with a sparse regression method by iteratively estimating the noise level via the mean residual…
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…
Overparametrization often helps improve the generalization performance. This paper presents a dual view of overparametrization suggesting that downsampling may also help generalize. Focusing on the proportional regime $m\asymp n \asymp p$,…