Randomized numerical linear algebra: Foundations and algorithms

Acta Numerica - Tập 29 - Trang 403-572 - 2020
Per‐Gunnar Martinsson1, Joel A. Tropp2
1Department of Mathematics, University of Texas at Austin Austin, TX 78712, USA E-mail:
2Computing & Mathematical Sciences, California Institute of Technology Pasadena, CA 91125, USA E-mail:

Tóm tắt

This survey describes probabilistic algorithms for linear algebraic computations, such as factorizing matrices and solving linear systems. It focuses on techniques that have a proven track record for real-world problems. The paper treats both the theoretical foundations of the subject and practical computational issues.Topics include norm estimation, matrix approximation by sampling, structured and unstructured random embeddings, linear regression problems, low-rank approximation, subspace iteration and Krylov methods, error estimation and adaptivity, interpolatory and CUR factorizations, Nyström approximation of positive semidefinite matrices, single-view (‘streaming’) algorithms, full rank-revealing factorizations, solvers for linear systems, and approximation of kernel matrices that arise in machine learning and in scientific computing.

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