Events

MaD Seminar: Finding structure with randomness: Randomized SVD algorithms

Speaker: Joel A. Tropp

Location: On-Line
Videoconference link: https://nyu.zoom.us/j/93671911776

Date: Monday, January 31, 2022

Over the last 20 years, randomized algorithms have revolutionized the field of matrix computations. These new methods can efficiently and robustly solve huge linear algebra problems that were previously inaccessible.
This talk introduces randomized singular value decomposition (SVD) algorithms, perhaps the most widely used methods that have emerged from this research program. These algorithms support large-scale linear regression, principal component analysis, proper orthogonal decomposition, and many other methods for data reduction and summarization. The talk offers a high-level view of how randomness facilitates the SVD computation, the kinds of theoretical guarantees it allows, and some applications in science and engineering.