• Corpus ID: 211011326

Limiting Spectrum of Randomized Hadamard Transform and Optimal Iterative Sketching Methods

@article{Lacotte2020LimitingSO,
  title={Limiting Spectrum of Randomized Hadamard Transform and Optimal Iterative Sketching Methods},
  author={Jonathan Lacotte and Sifan Liu and Edgar Dobriban and Mert Pilanci},
  journal={ArXiv},
  year={2020},
  volume={abs/2002.00864}
}
We provide an exact analysis of the limiting spectrum of matrices randomly projected either with the subsampled randomized Hadamard transform, or truncated Haar matrices. We characterize this limiting distribution through its Stieltjes transform, a classical object in random matrix theory, and compute the first and second inverse moments. We leverage the limiting spectrum and asymptotic freeness of random matrices to obtain an exact analysis of iterative sketching methods for solving least… 

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