A fast randomized algorithm for the approximation of matrices

We introduce a randomized procedure that, given an m × n matrix A and a positive integer k, approximates A with a matrix Z of rank k. The algorithm relies on applying a structured l × m random matrix R to each column of A, where l is an integer near to, but greater than, k. The structure of R allows...

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Bibliographic Details

Published in:	Applied and computational harmonic analysis Vol. 25; no. 3; pp. 335 - 366
Main Authors:	Woolfe, Franco, Liberty, Edo, Rokhlin, Vladimir, Tygert, Mark
Format:	Journal Article
Language:	English
Published:	Elsevier Inc 01.11.2008
Subjects:	Algorithm Fast Lanczos Low rank Matrix Randomized SVD SVD QR Randomized Matrix Lanczos Fast Algorithm Low rank
ISSN:	1063-5203, 1096-603X
Online Access:	Get full text
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