Fall 2018

Fast SVD in the Presence of Noise

Thursday, Sep. 27, 2018 10:00 am10:30 am

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Matan Gavish (Hebrew University of Jerusalem)

In the presence of measurement noise, the quality of fast randomized low-rank approximations deteriorates with noise level. Under suitable assumptions, this phenomenon can be quantified (as function of the noise level, sketch size and underlying matrix rank) and mitigated.