Can I read Randomized Low-rank Approximation of Parameter-dependent Matrices on EtoBox?

Randomized Low-rank Approximation of Parameter-dependent Matrices by Kressner, Daniel; Lam, Hei Yin is a scholarly article available to read on EtoBox.

What is Randomized Low-rank Approximation of Parameter-dependent Matrices about?

This work considers the low-rank approximation of a matrix $A(t)$ depending on a parameter $t$ in a compact set $D \subset \mathbb{R}^d$. Application areas that give rise to such problems include computational statistics and dynamical systems. Randomized algorithms are an increasingly popular approach for performing low-rank approximation and they usually proceed by multiplying the matrix with random dimension reduction matrices (DRMs). Applying such algorithms directly to $A(t)$ would involve different, independent DRMs for every $t$, which is not only expensive but also leads to inherently non-smooth approximations. In this work, we propose to use constant DRMs, that is, $A(t)$ is multiplied with the same DRM for every $t$. The resulting parameter-dependent extensions of two popular randomized algorithms, the randomized singular value decomposition and the generalized Nystr\"{o}m method, are computationally attractive, especially when $A(t)$ admits an affine linear decomposition with respect to $t$. We perform a probabilistic analysis for both algorithms, deriving bounds on the expected value as well as failure probabilities for the approximation error when using Gaussian random

Author

Kressner, Daniel; Lam, Hei Yin

Published

2023

Language

EN