A Multilevel Monte Carlo Estimator for Matrix Multiplication

DOI10.1137/19M125604XzbMath1492.65129arXiv1904.00429OpenAlexW3086535733MaRDI QIDQ5131979

Yue Wu, Nick Polydorides

Publication date: 9 November 2020

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.00429

zbMATH Keywords

sketchingmultiplicationmultilevel Monte Carloreal-time computing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Randomized algorithms (68W20) Numerical linear algebra (65F99)

Related Items

Optimal sampling algorithms for block matrix multiplication

Uses Software

• OpenBLAS

Cites Work

• Unnamed Item
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Multilevel sequential Monte Carlo samplers
• Convergence analysis of multilevel Monte Carlo variance estimators and application for random obstacle problems
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• Multilevel Monte Carlo Methods
• Importance Sampling for a Monte Carlo Matrix Multiplication Algorithm, with Application to Information Retrieval
• Multilevel Monte Carlo Path Simulation
• Randomized Approximation of the Gram Matrix: Exact Computation and Probabilistic Bounds
• Fast Monte Carlo Algorithms for Matrices I: Approximating Matrix Multiplication

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