Randomized Low-Rank Approximation of Monotone Matrix Functions
Randomized Low-Rank Approximation of Monotone Matrix Functions
This work is concerned with computing low-rank approximations of a matrix function for a large symmetric positive semidefinite matrix , a task that arises in, e.g., statistical learning and inverse problems. The application of popular randomized methods, such as the randomized singular value decomposition or the Nyström approximation, to requires …