Randomized Matrix Decompositions using R

TL;DR

This paper introduces the R package rsvd, which implements randomized algorithms for matrix decompositions, offering computational efficiency for large datasets in data analysis and machine learning.

Contribution

The paper presents a tutorial and implementation of randomized matrix decomposition routines in R, enhancing efficiency for large-scale data analysis.

Findings

Randomized routines outperform traditional methods in computational speed.

The package includes SVD, PCA, interpolative, and CUR decompositions.

Examples demonstrate practical advantages in real data scenarios.

Abstract

Matrix decompositions are fundamental tools in the area of applied mathematics, statistical computing, and machine learning. In particular, low-rank matrix decompositions are vital, and widely used for data analysis, dimensionality reduction, and data compression. Massive datasets, however, pose a computational challenge for traditional algorithms, placing significant constraints on both memory and processing power. Recently, the powerful concept of randomness has been introduced as a strategy to ease the computational load. The essential idea of probabilistic algorithms is to employ some amount of randomness in order to derive a smaller matrix from a high-dimensional data matrix. The smaller matrix is then used to compute the desired low-rank approximation. Such algorithms are shown to be computationally efficient for approximating matrices with low-rank structure. We present the \proglang{R} package rsvd, and provide a tutorial introduction to randomized matrix decompositions. Specifically, randomized routines for the singular value decomposition, (robust) principal component analysis, interpolative decomposition, and CUR decomposition are discussed. Several examples demonstrate the routines, and show the computational advantage over other methods implemented in R.