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Paper detail

A Consistency Theorem for Randomized Singular Value Decomposition

The singular value decomposition (SVD) and the principal component analysis are fundamental tools and probably the most popular methods for data dimension reduction. The rapid growth in the size of data matrices has lead to a need for developing efficient large-scale SVD algorithms. Randomized SVD was proposed, and its potential was demonstrated for computing a low-rank SVD (Rokhlin et al., 2009). In this article, we provide a consistency theorem for the randomized SVD algorithm and a numerical example to show how the random projections to low dimension affect the consistency.

preprint2020arXivOpen access
Ting-Li ChenSu-Yun HuangWeichung Wang
math.STStatistics Theory
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Ting-Li ChenSu-Yun HuangWeichung Wang

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