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

Guide to Spectral Proper Orthogonal Decomposition

This paper discusses the spectral proper orthogonal decomposition and its use in identifying modes, or structures, in flow data. A specific algorithm based on estimating the cross-spectral density tensor with Welch’s method is presented, and guidance is provided on selecting data sampling parameters and understanding tradeoffs among them in terms of bias, variability, aliasing, and leakage. Practical implementation issues, including dealing with large datasets, are discussed and illustrated with examples involving experimental and computational turbulent flow data

Power spectrum characterization of systematic coded UW-OFDM systems

Unique word (UW)-OFDM is a newly proposed multicarrier technique that has shown to outperform cyclic prefix (CP)-OFDM in fading channels. Until now, the spectrum of UW-OFDM is not thoroughly investigated. In this paper, we derive an analytical expression for the spectrum taking into account the DFT based implementation of the system. Simulations show that the proposed analytical results are very accurate. Compared to CP-OFDM, we show that UW-OFDM has much lower out-of-band (OOB) radiation, which makes it suitable for systems with strict spectral masks, as e. g. cognitive radios. Further, in this paper, we evaluate the effect of the redundant carrier placement on the spectrum