Finding Structure with Randomness: Probabilistic Algorithms for Constructing Approximate Matrix Decompositions

@article{Halko2011FindingSW,
title={Finding Structure with Randomness: Probabilistic Algorithms for Constructing Approximate Matrix Decompositions},
author={Nathan Halko and Per-Gunnar Martinsson and Joel A. Tropp},
journal={SIAM Review},
year={2011},
volume={53},
pages={217-288}
}

Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which demonstrates that randomization offers a powerful tool for performing low-rank matrix approximation. These techniques… CONTINUE READING