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math.NA2022★ 4 cited
Randomly pivoted Cholesky: Practical approximation of a kernel matrix with few entry evaluations
Yifan Chen, Ethan N. Epperly, Joel A. Tropp +1
The randomly pivoted partial Cholesky algorithm (RPCholesky) computes a factorized rank-k approximation of an N x N positive-semidefinite (psd) matrix. RPCholesky requires only (k…
math.NA2022★ 6 cited
Efficient error and variance estimation for randomized matrix computations
Ethan N. Epperly, Joel A. Tropp
Randomized matrix algorithms have become workhorse tools in scientific computing and machine learning. To use these algorithms safely in applications, they should be coupled with p…