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research article

Randomized Nyström Approximation of Non-negative Self-Adjoint Operators

Persson, David
•
Boullé, Nicolas
•
Kressner, Daniel  
May 13, 2025
SIAM Journal on Mathematics of Data Science

The randomized singular value decomposition (SVD) has become a popular approach to computing cheap, yet accurate, low-rank approximations to matrices due to its efficiency and strong theoretical guarantees. Recent work by Boullé and Townsend [Found. Comput. Math., 23 (2023), pp. 709–739] presents an infinite-dimensional analogue of the randomized SVD to approximate Hilbert–Schmidt operators. However, many applications involve computing low-rank approximations to symmetric positive semi-definite matrices. In this setting, it is well established that the randomized Nyström approximation is usually preferred over the randomized SVD. This paper explores an infinite-dimensional analogue of the Nyström approximation to compute low-rank approximations to non-negative self-adjoint trace-class operators. We present an analysis of the method and, along the way, improve the existing infinite-dimensional bounds for the randomized SVD. Our analysis yields bounds on the expected value and tail bounds for the Nyström approximation error in the operator, trace, and Hilbert–Schmidt norms. Numerical experiments on integral operators arising from Gaussian process sampling and Bayesian inverse problems are used to validate the proposed infinite-dimensional Nyström algorithm.

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Type
research article
DOI
10.1137/24m165082x
Author(s)
Persson, David

New York University

Boullé, Nicolas

Imperial College London

Kressner, Daniel  

EPFL

Date Issued

2025-05-13

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Published in
SIAM Journal on Mathematics of Data Science
Volume

7

Issue

2

Start page

670

End page

698

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANCHP  
FunderFunding(s)Grant NumberGrant URL

Isaac Newton Institute for Mathematical Sciences

Office of Naval Research

N00014-23-1-2729

Swiss National Science Foundation

200020_178806

Available on Infoscience
May 19, 2025
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/250234
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