See random matrices, vector random projections and many other related tricks Notes on doing linear algebra operations using randomised matrix projections. Useful for, e.g. randomised regression.

## Context

Obligatory Igor Carron mention: Random matrices are too damn large. Martinsson (2016) seems to be a fresh review of the action.

## Log det and trace estimation

Machine Learning Trick of the Day (3): Hutchinsonβs Trickβ Shakir Mohammed

- RaphaelArkadyMeyerNYU/HutchPlusPlus: Code for Hutch++: Optimal Stochastic Trace Estimation Saibaba, Alexanderian, and Ipsen (2017)

## Random Fourier Features

## Randomisation in matrix factorization

See various matrix factorisation methods.

## Random regression

## Hutchinson trace estimator

Shakir Mohamed mentions Hutchinsonβs Trick, and was introduced to it, as I was, by Dr Maurizio Filippone. This trick also works with efficiently with the ensemble Kalman filter, where the randomised products are cheap.

## Stochastic Lanczos Quadrature

## Tools

### imate

The main purpose of Δ±mate is to estimate the algebraic quantity \[ \operatorname{trace}(f(\mathbf{A})) \] where \(\mathbf{A}\) is a square matrix, \(f\) is a matrix function, and trace \((\cdot)\) is the trace operator. Imate can also compute variants of \((1)\), such as \[ \operatorname{trace}(\mathbf{B} f(\mathbf{A})) \] and \[ \operatorname{trace}(\mathbf{B} f(\mathbf{A}) \mathbf{C} f(\mathbf{A})) \] where \(\mathbf{B}\) and \(\mathbf{C}\) are matrices. Other variations include the cases where \(\mathbf{A}\) is replaced by \(\mathbf{A}^{\top} \mathbf{A}\) in the above expressions.

### Misc

- R: rSVD, Randomised SVD in R (Erichson et al. 2016)
- Python/C++: IBMβs libskylark
- c: RSVDPACK implements low rank SVD, ID, and CUR factorizations of matrices, also does GPU calculations. (Martinsson and Voronin 2015; Voronin and Martinsson 2014)
- MATLAB: RandMatrixMatlab (Wang 2015)

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