Universality in numerical computations with random data
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Abstract: The authors present evidence for universality in numerical computations with random data. Given a (possibly stochastic) numerical algorithm with random input data, the time (or number of iterations) to convergence (within a given tolerance) is a random variable, called the halting time. Two-component universality is observed for the fluctuations of the halting time, i.e., the histogram for the halting times, centered by the sample average and scaled by the sample variance, collapses to a universal curve, independent of the input data distribution, as the dimension increases. Thus, up to two components, the sample average and the sample variance, the statistics for the halting time are universally prescribed. The case studies include six standard numerical algorithms, as well as a model of neural computation and decision making. A link to relevant software is provided in for the reader who would like to do computations of his'r own.
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Cites work
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Cited in
(17)- Mini-workshop: Reflectionless operators: the Deift and Simon conjectures. Abstracts from the mini-workshop held October 22--28, 2017
- Universal statistics of incubation periods and other detection times via diffusion models
- Smoothed analysis for the conjugate gradient algorithm
- On the condition number of the critically-scaled Laguerre unitary ensemble
- Halting time is predictable for large models: a universality property and average-case analysis
- Universality for Eigenvalue Algorithms on Sample Covariance Matrices
- Universality for the Toda algorithm to compute the largest eigenvalue of a random matrix
- Universal halting times in optimization and machine learning
- The conjugate gradient algorithm on a general class of spiked covariance matrices
- Gaussian determinantal processes: a new model for directionality in data
- On the Condition Number of the Shifted Real Ginibre Ensemble
- Three lectures on ``Fifty years of KdV: an integrable system
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- Some open problems in random matrix theory and the theory of integrable systems. II
- Universality in numerical computation with random data: case studies and analytical results
- Sampling unitary ensembles
- GMRES, pseudospectra, and Crouzeix's conjecture for shifted and scaled Ginibre matrices
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