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): Hutchinson’s Trick— 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
Tools
- R: rSVD, Randomised SVD in R (Erichson et al. 2016)
- Python/C++: IBM’s 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)
References
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