Randomized Numerical Linear Algebra: Foundations & Algorithms

DOI10.1017/S0962492920000021MaRDI QIDQ6334120arXivFDO

Authors P. G. Martinsson, Joel A. Tropp

Publication date 4 February 2020

Published in arXiv

Full work available at URL https://doi.org/10.1017/S0962492920000021

Mathematics Subject Classification ID

Numerical analysis (65-XX) Fluid mechanics (76-XX)

arXiv classification

cs.NAmath.NA

Abstract: This survey describes probabilistic algorithms for linear algebra computations, such as factorizing matrices and solving linear systems. It focuses on techniques that have a proven track record for real-world problem instances. The paper treats both the theoretical foundations of the subject and the practical computational issues. Topics covered include norm estimation; matrix approximation by sampling; structured and unstructured random embeddings; linear regression problems; low-rank approximation; subspace iteration and Krylov methods; error estimation and adaptivity; interpolatory and CUR factorizations; Nystr"om approximation of positive-semidefinite matrices; single view ("streaming") algorithms; full rank-revealing factorizations; solvers for linear systems; and approximation of kernel matrices that arise in machine learning and in scientific computing.

Cited in

(16)

• An Equivalence result for sketched Anderson Acceleration and sketched GMRES
• Adaptive, Matrix-Free Low-Rank Approximation
• Sketch-and-Restart: Randomized Sketching in Quadrature-Based Restarting for Matrix Functions
• RCLUPPr: a new randomized CholeskyQR with LU preconditioning
• Sequential Preconditioned Conjugate Gradient Method for Linear Statistical Models
• librla: Randomized Linear Algebra Library
• Randomized Tucker-Sketched GMRES
• A new analysis of the randomly pivoted Cholesky algorithm
• Nyström method for symmetric indefinite matrices
• Randomized Block Davidson Eigensolvers for Plane-Wave Density-Functional Theory
• GPU-Enabled Large-Scale Optimization Using Randomized Linear Algebra
• Blind error estimation for CUR approximation
• Mixed-Precision Computing for Scientific Discovery: Formats, Co-Design, and Responsible Approximation
• Neural Sampling with Reweighted Normalizing Flows via the Wasserstein--Fisher--Rao JKO Scheme
• Randomized Krylov Subspace Methods for Shifted Linear Systems
• New hierarchical matrices for fast kernel matrix-vector products with Applications to Gaussian processes and kernel ridge regression

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