Finding Structure with Randomness: Probabilistic Algorithms for Constructing Approximate Matrix Decompositions - Halko, N.; Martinsson, P. G.; Tropp, J. A. (SIAM review, 2011)
Keywords: Algorithmics. Computability. Computer arithmetics; Algorithms; Applied sciences; Approximation; Computer science; control theory; systems; Dimensionality reduction; Eigenvalues; Error analysis; Error bounds; Error rates; Exact sciences and technology; Factorization; Linear algebra; Mathematical vectors; Mathematics; Matrices; Matrix; Methods of scientific computing (including symbolic computation, algebraic computation); Numerical analysis; Numerical analysis. Scientific computation; Numerical linear algebra; Principal components analysis; Randomized algorithms; Sciences and techniques of general use; Studies; SURVEY and REVIEW; Theoretical computing; Matrix approximation; 68W20; random matrix; Error analysis; Random sampling; Memory; Decomposition method; Krylov subspace method; Eigenvalue; 60B20; Johnson-Lindenstrauss lemma; Research; Computing; dimension reduction; Multiprocessor; Input; Randomization; 65F30; Primary; Sparse matrix; Floating point; Robustness; pass-efficient algorithm; Singular value decomposition; Parallel algorithm; Data analysis; Secondary; rank-revealing QR factorization; Architecture; Rank; randomized algorithm; streaming algorithm; Factorization; interpolative decomposition; Survey; Scientific computation; Applied mathematics; eigenvalue decomposition; Randomness; Environment; M matrix; Principal component analysis