Randomized LU Decomposition

@article{Shabat2013RandomizedLD,
  title={Randomized LU Decomposition},
  author={G. Shabat and Y. Shmueli and A. Averbuch},
  journal={ArXiv},
  year={2013},
  volume={abs/1310.7202}
}
We present a fast randomized algorithm that computes a low rank LU decomposition. Our algorithm uses random projections type techniques to efficiently compute a low rank approximation of large matrices. The randomized LU algorithm can be parallelized and further accelerated by using sparse random matrices in its projection step. Several different error bounds are proven for the algorithm approximations. To prove these bounds, recent results from random matrix theory related to subgaussian… Expand

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