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Randomized algorithms provide solutions to two ubiquitous problems: (1) the distributed calculation of a principal component analysis or singular value decomposition of a highly rectangular matrix, and (2) the distributed calculation of a low-rank approximation (in the form of a singular value decomposition) to an arbitrary matrix. Carefully honed algorithms yield results that are uniformly superior to those of the stock, deterministic implementations in Spark (the popular platform for distributed computation); in particular, whereas the stock software will without warning return left singular vectors that are far from numerically orthonormal, a significantly burnished randomized implementation generates left singular vectors that are numerically orthonormal to nearly the machine precision.
This chapter describes gene expression analysis by Singular Value Decomposition (SVD), emphasizing initial characterization of the data. We describe SVD methods for visualization of gene expression data, representation of the data using a smaller num
Quaternion matrix approximation problems construct the approximated matrix via the quaternion singular value decomposition (SVD) by selecting some singular value decomposition (SVD) triplets of quaternion matrices. In applications such as color image
We introduce PyParSVDfootnote{https://github.com/Romit-Maulik/PyParSVD}, a Python library that implements a streaming, distributed and randomized algorithm for the singular value decomposition. To demonstrate its effectiveness, we extract coherent st
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the corresponding convergence rates.
The hierarchical SVD provides a quasi-best low rank approximation of high dimensional data in the hierarchical Tucker framework. Similar to the SVD for matrices, it provides a fundamental but expensive tool for tensor computations. In the present wor