Fall 2018

Matrix Martingales in Randomized Numerical Linear Algebra

Thursday, Sep. 27, 2018 11:30 am12:00 pm

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Rasmus Kyng (Yale University)

A matrix martingale is a sequence of random matrices where the expectation of each matrix in the sequence equals the preceding matrix, conditional on the earlier parts of the sequence. Concentration results for matrix martingales have become an important tool in the analysis of algorithms in randomized numerical linear algebra. Simple and fast algorithms for many well-studied problems can be analyzed in using martingales. We survey recent results on using matrix martingales for randomized constructions of sparse approximations of graphs and discuss in detail the use of matrix martingales for analyzing approximate Gaussian elimination on Laplacian matrices associated with undirected and directed graphs.