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andres-fr / skerch

Sketched matrix decompositions for PyTorch
MIT License
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Explore Nyström sketches for PSD linops #2

Open andres-fr opened 2 months ago

andres-fr commented 2 months ago

Explore effectiveness of variations from the technique covered in Halko et al 2011, section 5.4

https://arxiv.org/pdf/0909.4061

andres-fr commented 2 months ago

Relevant (more recent) reference: Tropp et al: Fixed-Rank Approximation of a Positive-Semidefinite Matrix from Streaming Data

https://arxiv.org/pdf/1706.05736

andres-fr commented 2 months ago

Also relevant reference: Clarkson/Woodruff: Low-Rank PSD Approximation in Input-Sparsity Time https://www.cs.cmu.edu/afs/cs/user/dwoodruf/www/cw17.pdf