The talk will describe accelerated algorithms for computing full or partial matrix factorizations such as the eigenvalue decomposition, the QR factorization, etc. The key technical novelty is the use of randomized projections to reduce the effective dimensionality of intermediate steps in the computation. The resulting algorithms execute faster on modern hardware than traditional algorithms, and are particularly well suited for processing very large data sets.
The algorithms described are supported by a rigorous mathematical analysis that exploits recent work in random matrix theory. The talk will briefly review some representative theoretical results.
- Computational Mathematics and Applications Seminar