Practical sketching algorithms for low-rank matrix approximation

This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as positive-semidefiniteness, and they can produce approximations with a user-specified rank. The algorithms are simple, accurate, numerically stable, and provably correct. Moreover, each method is accompanied by an informative error bound that allows users to select parameters a priori to achieve a given approximation quality. These claims are supported by numerical experiments with real and synthetic data

Finding Structure with Randomness: Probabilistic Algorithms for Constructing Approximate Matrix Decompositions

Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which demonstrates that randomization offers a powerful tool for performing low-rank matrix approximation. These techniques exploit modern computational architectures more fully than classical methods and open the possibility of dealing with truly massive data sets. This paper presents a modular framework for constructing randomized algorithms that compute partial matrix decompositions. These methods use random sampling to identify a subspace that captures most of the action of a matrix. The input matrix is then compressed—either explicitly or implicitly—to this subspace, and the reduced matrix is manipulated deterministically to obtain the desired low-rank factorization. In many cases, this approach beats its classical competitors in terms of accuracy, robustness, and/or speed. These claims are supported by extensive numerical experiments and a detailed error analysis. The specific benefits of randomized techniques depend on the computational environment. Consider the model problem of finding the k dominant components of the singular value decomposition of an m × n matrix. (i) For a dense input matrix, randomized algorithms require O(mn log(k)) floating-point operations (flops) in contrast to O(mnk) for classical algorithms. (ii) For a sparse input matrix, the flop count matches classical Krylov subspace methods, but the randomized approach is more robust and can easily be reorganized to exploit multiprocessor architectures. (iii) For a matrix that is too large to fit in fast memory, the randomized techniques require only a constant number of passes over the data, as opposed to O(k) passes for classical algorithms. In fact, it is sometimes possible to perform matrix approximation with a single pass over the data

Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions

Low-rank matrix approximations, such as the truncated singular value decomposition and the rank-revealing QR decomposition, play a central role in data analysis and scientific computing. This work surveys and extends recent research which demonstrates that randomization offers a powerful tool for performing low-rank matrix approximation. These techniques exploit modern computational architectures more fully than classical methods and open the possibility of dealing with truly massive data sets. This paper presents a modular framework for constructing randomized algorithms that compute partial matrix decompositions. These methods use random sampling to identify a subspace that captures most of the action of a matrix. The input matrix is then compressed---either explicitly or implicitly---to this subspace, and the reduced matrix is manipulated deterministically to obtain the desired low-rank factorization. In many cases, this approach beats its classical competitors in terms of accuracy, speed, and robustness. These claims are supported by extensive numerical experiments and a detailed error analysis

Recovering Sparse Signals Using Sparse Measurement Matrices in Compressed DNA Microarrays

Microarrays (DNA, protein, etc.) are massively parallel affinity-based biosensors capable of detecting and quantifying a large number of different genomic particles simultaneously. Among them, DNA microarrays comprising tens of thousands of probe spots are currently being employed to test multitude of targets in a single experiment. In conventional microarrays, each spot contains a large number of copies of a single probe designed to capture a single target, and, hence, collects only a single data point. This is a wasteful use of the sensing resources in comparative DNA microarray experiments, where a test sample is measured relative to a reference sample. Typically, only a fraction of the total number of genes represented by the two samples is differentially expressed, and, thus, a vast number of probe spots may not provide any useful information. To this end, we propose an alternative design, the so-called compressed microarrays, wherein each spot contains copies of several different probes and the total number of spots is potentially much smaller than the number of targets being tested. Fewer spots directly translates to significantly lower costs due to cheaper array manufacturing, simpler image acquisition and processing, and smaller amount of genomic material needed for experiments. To recover signals from compressed microarray measurements, we leverage ideas from compressive sampling. For sparse measurement matrices, we propose an algorithm that has significantly lower computational complexity than the widely used linear-programming-based methods, and can also recover signals with less sparsity