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research article

Practical Sketching Algorithms For Low-Rank Matrix Approximation

Tropp, Joel A.
•
Yurtsever, Alp  
•
Udell, Madeleine
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2017
Siam Journal On Matrix Analysis And Applications

This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image, or sketch, of the matrix. These methods can preserve structural properties of the input matrix, such as positive-semidefiniteness, and they can produce approximations with a user-specified rank. The algorithms are simple, accurate, numerically stable, and provably correct. Moreover, each method is accompanied by an informative error bound that allows users to select parameters a priori to achieve a given approximation quality. These claims are supported by numerical experiments with real and synthetic data.

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Type
research article
DOI
10.1137/17M1111590
Web of Science ID

WOS:000418665600017

Author(s)
Tropp, Joel A.
Yurtsever, Alp  
Udell, Madeleine
Cevher, Volkan  orcid-logo
Date Issued

2017

Publisher

Society for Industrial and Applied Mathematics

Published in
Siam Journal On Matrix Analysis And Applications
Volume

38

Issue

4

Start page

1454

End page

1485

Subjects

dimension reduction

•

matrix approximation

•

numerical linear algebra

•

randomized algorithm

•

single-pass algorithm

•

sketching

•

streaming algorithm

•

subspace embedding

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
LIONS  
Available on Infoscience
January 15, 2018
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/143849
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