Randomised numerical linear algebra: foundations and algorithms

Randomised numerical linear algebra: foundations and algorithms(arxiv.org)

3 points by jeremiecoullon 4 years ago | 1 comment

I just discovered this field; I needed an algorithm to compute a low rank approximation of a large covariance matrix without first building the matrix. I'm using algorithm 16 in this paper which is simple but very good!

jeremiecoullon 4 years ago |

I just discovered this field; I needed an algorithm to compute a low rank approximation of a large covariance matrix without first building the matrix. I'm using algorithm 16 in this paper which is simple but very good!