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Lopes, M. E.; Erichson, N. B.; Mahoney, M. W. (, Proceedings of the 37th International Conference on Machine Learningg)null (Ed.)In order to compute fast approximations to the singular value decompositions (SVD) of very large matrices, randomized sketching algorithms have become a leading approach. However, a key practical difficulty of sketching an SVD is that the user does not know how far the sketched singular vectors/values are from the exact ones. Indeed, the user may be forced to rely on analytical worst-case error bounds, which may not account for the unique structure of a given problem. As a result, the lack of tools for error estimation often leads to much more computation than is really necessary. To overcome these challenges, this paper develops a fully data-driven bootstrap method that numerically estimates the actual error of sketched singular vectors/values. Furthermore, the method is computationally inexpensive, because it operates only on sketched objects, and hence it requires no extra passes over the full matrix being factored.more » « less
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Levin, K.; Roosta-Khorasani, F.; Mahoney, M. W.; Priebe, C. E. (, Proceedings of the 35th International Conference on Machine Learning)
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An, P; Awe, C; Barbeau, P S; Becker, B; Belov, V; Bernardi, I; Bock, C; Bolozdynya, A; Bouabid, R; Brown, A; et al (, Physical Review Letters)
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