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math.NA2024
Randomized Kaczmarz with tail averaging
Ethan N. Epperly, Gil Goldshlager, Robert J. Webber
The randomized Kaczmarz (RK) method is a well-known approach for solving linear least-squares problems with a large number of rows. RK accesses and processes just one row at a time…
math.NA2024
Embrace rejection: Kernel matrix approximation by accelerated randomly pivoted Cholesky
Ethan N. Epperly, Joel A. Tropp, Robert J. Webber
Randomly pivoted Cholesky (RPCholesky) is an algorithm for constructing a low-rank approximation of a positive-semidefinite matrix using a small number of columns. This paper devel…