相关论文: Sketched and truncated polynomial Krylov methods: …
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…
Since being analyzed by Rokhlin, Szlam, and Tygert and popularized by Halko, Martinsson, and Tropp, randomized Simultaneous Power Iteration has become the method of choice for approximate singular value decomposition. It is more accurate…
It is often desirable to reduce the dimensionality of a large dataset by projecting it onto a low-dimensional subspace. Matrix sketching has emerged as a powerful technique for performing such dimensionality reduction very efficiently. Even…
High-dimensional representations, such as radial basis function networks or tile coding, are common choices for policy evaluation in reinforcement learning. Learning with such high-dimensional representations, however, can be expensive,…
Approximating the action of a matrix function $f(\mathbf{A})$ on a vector $\mathbf{b}$ is an increasingly important primitive in machine learning, data science, and statistics, with applications such as sampling high dimensional Gaussians,…
The randomized SVD is a method to compute an inexpensive, yet accurate, low-rank approximation of a matrix. The algorithm assumes access to the matrix through matrix-vector products (matvecs). Therefore, when we would like to apply the…
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,…
In this paper, we propose a new choice of poles to define reliable rational Krylov methods. These methods are used for approximating function of positive definite matrices. In particular, the fractional power and the fractional resolvent…
In the numerical treatment of large-scale Sylvester and Lyapunov equations, projection methods require solving a reduced problem to check convergence. As the approximation space expands, this solution takes an increasing portion of the…
We obtain an expression for the error in the approximation of $f(A) \boldsymbol{b}$ and $\boldsymbol{b}^T f(A) \boldsymbol{b}$ with rational Krylov methods, where $A$ is a symmetric matrix, $\boldsymbol{b}$ is a vector and the function $f$…
In this research, we solve polynomial, Sobolev polynomial, rational, and Sobolev rational least squares problems. Although the increase in the approximation degree allows us to fit the data better in attacking least squares problems, the…
Matrix sketching is a powerful tool for reducing the size of large data matrices. Yet there are fundamental limitations to this size reduction when we want to recover an accurate estimator for a task such as least square regression. We show…
We consider sketched approximate matrix multiplication and ridge regression in the novel setting of localized sketching, where at any given point, only part of the data matrix is available. This corresponds to a block diagonal structure on…
We propose a new numerical method to solve linear ordinary differential equations of the type $\frac{\partial u}{\partial t}(t,\varepsilon) = A(\varepsilon) \, u(t,\varepsilon)$, where $A:\mathbb{C}\rightarrow\mathbb{C}^{n\times n}$ is a…
Sketching is a probabilistic data compression technique that has been largely developed in the computer science community. Numerical operations on big datasets can be intolerably slow; sketching algorithms address this issue by generating a…
The computation of sparse solutions of large-scale linear discrete ill-posed problems remains a computationally demanding task. A powerful framework in this context is the use of iteratively reweighted schemes, which are based on…
In this paper we consider large-scale smooth optimization problems with multiple linear coupled constraints. Due to the non-separability of the constraints, arbitrary random sketching would not be guaranteed to work. Thus, we first…
The numerical computation of matrix functions such as $f(A)V$, where $A$ is an $n\times n$ large and sparse square matrix, $V$ is an $n \times p$ block with $p\ll n$ and $f$ is a nonlinear matrix function, arises in various applications…
We present a new class of preconditioned iterative methods for solving linear systems of the form $Ax = b$. Our methods are based on constructing a low-rank Nystr\"om approximation to $A$ using sparse random matrix sketching. This…
Leveraging the kernel trick in both the input and output spaces, surrogate kernel methods are a flexible and theoretically grounded solution to structured output prediction. If they provide state-of-the-art performance on complex data sets…