Make the most of what you have: Resource-efficient randomized algorithms for matrix computations

TL;DR

This paper develops resource-efficient randomized algorithms for matrix computations, improving speed and reliability in low-rank approximation, attribute estimation, and least squares problems with limited data access.

Contribution

It introduces novel algorithms that optimize data usage and achieve high accuracy and stability in matrix computations, surpassing existing methods.

Findings

RPCholesky achieves faster low-rank approximation with high reliability.

Optimized trace, diagonal, and row-norm estimation algorithms improve attribute estimation.

Stable randomized least-squares algorithms match deterministic accuracy with faster performance.

Abstract

In recent years, randomized algorithms have established themselves as fundamental tools in computational linear algebra, with applications in scientific computing, machine learning, and quantum information science. Many randomized matrix algorithms proceed by first collecting information about a matrix and then processing that data to perform some computational task. This thesis addresses the following question: How can one design algorithms that use this information as efficiently as possible, reliably achieving the greatest possible speed and accuracy for a limited data budget? The first part of this thesis focuses on low-rank approximation for positive-semidefinite matrices. Here, the goal is to compute an accurate approximation to a matrix after accessing as few entries of the matrix as possible. This part of the thesis explores the randomly pivoted Cholesky (RPCholesky) algorithm for this task, which achieves a level of speed and reliability greater than other methods for the same problem. The second part of this thesis considers the task of estimating attributes of an implicit matrix accessible only by matrix-vector products. This thesis describes the leave-one-out approach to developing matrix attribute estimation algorithms and develops optimized trace, diagonal, and row-norm estimation algorithms. The third part of this thesis considers randomized algorithms for overdetermined linear least squares problems. Randomized algorithms for linear-least squares problems are asymptotically faster than any known deterministic algorithm, but recent work has raised questions about the accuracy of these methods in floating point arithmetic. This thesis shows these issues are resolvable by developing fast randomized least-squares problem achieving backward stability, the gold-standard stability guarantee for a numerical algorithm.