Randomized Matrix Computations (1210.7476v1)

Abstract: Random matrices tend to be well conditioned, and we employ this well known property to advance matrix computations. We prove that our algorithms employing Gaussian random matrices are efficient, but in our tests the algorithms have consistently remained as powerful where we used sparse and structured random matrices, defined by much fewer random parameters. We numerically stabilize Gaussian elimination with no pivoting as well as block Gaussian elimination, precondition an ill conditioned linear system of equations, compute numerical rank of a matrix without orthogonalization and pivoting, approximate the singular spaces of an ill conditioned matrix associated with its largest and smallest singular values, and approximate this matrix with low-rank matrices, with applications to its 2-by-2 block triangulation and to tensor decomposition. Some of our results and techniques can be of independent interest, e.g., our estimates for the condition numbers of random Toeplitz and circulant matrices and our variations of the Sherman--Morrison--Woodbury formula.