Efficient Error and Variance Estimation for Randomized Matrix Computations

DOI10.1137/23m1558537arXiv2207.06342OpenAlexW4391645186MaRDI QIDQ6154964

Joel A. Tropp, Ethan N. Epperly

Publication date: 16 February 2024

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

Full work available at URL: https://arxiv.org/abs/2207.06342

zbMATH Keywords

error estimationrandomized algorithmslow-rank approximationjackknife resampling

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Randomized algorithms (68W20) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

Cites Work

• Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
• Efron-Stein inequalities for random matrices
• An Efron-Stein inequality for nonsymmetric statistics
• The jackknife estimate of variance
• Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching
• Computational Advertising: Techniques for Targeting Relevant Ads
• Algorithm 971
• Streaming Low-Rank Matrix Approximation with an Application to Scientific Simulation
• Randomized numerical linear algebra: Foundations and algorithms
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