Sketching as a Tool for Numerical Linear Algebra

17 Nov 2014David P. Woodruff

This survey highlights the recent advances in algorithms for numerical linear algebra that have come from the technique of linear sketching, whereby given a matrix, one first compresses it to a much smaller matrix by multiplying it by a (usually) random matrix with certain properties. Much of the expensive computation can then be performed on the smaller matrix, thereby accelerating the solution for the original problem... (read more)

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