Practical sketching algorithms for low-rank matrix approximation

31 Aug 2016Joel A. TroppAlp YurtseverMadeleine UdellVolkan Cevher

This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as positive-semidefiniteness, and they can produce approximations with a user-specified rank... (read more)

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