• Corpus ID: 3334770

Fixed-Rank Approximation of a Positive-Semidefinite Matrix from Streaming Data

@article{Tropp2017FixedRankAO,
  title={Fixed-Rank Approximation of a Positive-Semidefinite Matrix from Streaming Data},
  author={Joel A. Tropp and Alp Yurtsever and Madeleine Udell and Volkan Cevher},
  journal={ArXiv},
  year={2017},
  volume={abs/1706.05736}
}
Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be possible to retain a sketch of the psd matrix. This paper develops a new algorithm for fixed-rank psd approximation from a sketch. The approach combines the Nystrom approximation with a novel mechanism for rank truncation. Theoretical analysis establishes that… 

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