[SciPy-Dev] Randomized linear algebra functionality

[Touqir Sajed]

Aha, this implements the exact functionality that I had in mind! Thanks for
bringing this up Andreas.
Regarding fast JL transformation, there is an existing package in python :
https://github.com/michaelmathen/FJLT
<https://ml-trckr.com/link/https%3A%2F%2Fgithub.com%2Fmichaelmathen%2FFJLT/ItaYhTc7pvlDqpF6qIPH>
.

Are there functionalities that the core developers have in mind and can use
some help implementing them?

On Sat, Sep 15, 2018 at 1:04 PM Andreas Kloeckner <lists at informa.tiker.net>
wrote:

> Touqir,
>
> Touqir Sajed <touqir at ualberta.ca> writes:
> > There seems to be some interest in implementing randomized linear algebra
> > algorithms such as JL transformation, low-rank approximation, etc as
> > written in  https://github.com/scipy/scipy/wiki/GSoC-2018-project-ideas
> > <
> https://ml-trckr.com/link/https%3A%2F%2Fgithub.com%2Fscipy%2Fscipy%2Fwiki%2FGSoC-2018-project-ideas/cBzmzxqJ6V7Fi58kyipk
> >
> > . To the best of my knowledge, they are not implemented yet. If there
> still
> > exists interests I would like to implement the Fast JL transformation and
> > the randomized SVD for low-rank approximation. The pseudo code of Fast JL
> > transformation is given here:
> >
> https://pdfs.semanticscholar.org/ccf0/1e0375d11df5335b645161b4833e32380d89.pdf
> > <
> https://ml-trckr.com/link/https%3A%2F%2Fpdfs.semanticscholar.org%2Fccf0%2F1e0375d11df5335b645161b4833e32380d89.pdf/cBzmzxqJ6V7Fi58kyipk
> >
> > . The randomized SVD is based on https://arxiv.org/pdf/0909.4061.pdf
> > <
> https://ml-trckr.com/link/https%3A%2F%2Farxiv.org%2Fpdf%2F0909.4061.pdf/cBzmzxqJ6V7Fi58kyipk
> >
>
> scipy.linalg.interpolative is in fact based on randomized linear
> algebra. In particular, this function:
>
>
> https://docs.scipy.org/doc/scipy/reference/generated/scipy.linalg.interpolative.svd.html#scipy.linalg.interpolative.svd
>
> already does implement a randomized SVD with a number of acceleration
> bells and whistles.
>
> Andreas
>


-- 
Computing Science Master's student at University of Alberta, Canada,
specializing in Machine Learning. Website :
https://ca.linkedin.com/in/touqir-sajed-6a95b1126
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