Abstract
Inspired by recent developments in multilevel Monte Carlo (MLMC) methods and randomized sketching for linear algebra problems, we propose an MLMC estimator for real-time processing of matrix structured random data. Our algorithm is particularly effective in handling high-dimensional inner products and matrix multiplication, and finds applications in computer vision and large-scale supervised learning.
| Original language | English |
|---|---|
| Pages (from-to) | A2731-A2749 |
| Number of pages | 19 |
| Journal | SIAM Journal on Scientific Computing |
| Volume | 42 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 15 Sept 2020 |
Keywords
- sketching
- multiplication
- multilevel Monte Carlo
- real-time computing
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