arxiv:1904.00429

A Multilevel Monte Carlo Estimator for Matrix Multiplication

Published on Mar 31, 2019

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Abstract

A multilevel Monte Carlo estimator combined with randomised sketching is proposed for efficient real-time processing of matrix data in high-dimensional applications like image analysis and large-scale learning.

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Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a 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, in applications of image analysis and large-scale supervised learning.

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