CATS-Apr-30-2015
Title
Sketching as a Tool for Numerical Linear Algebra
Speaker
David Woodruff
Abstract
I'll highlight recent advances in algorithms for numerical linear algebra that have come from the technique of linear sketching, whereby given an n x d matrix A, one first compresses A to an m x d matrix S*A, where S is a certain m x n random matrix with m much less than n. Much of the expensive computation is then performed on S*A, thereby accelerating the solution for the original problem involving A. I'll discuss recent advances in least squares as well as robust regression, including least absolute deviation and M-estimators. I'll also discuss low rank approximation, and a number of variants of these problems.