Showing papers by "Joel A. Tropp published in 2023"

XTrace: Making the most of every sample in stochastic trace estimation

Abstract: The implicit trace estimation problem asks for an approximation of the trace of a square matrix, accessed via matrix-vector products (matvecs). This paper designs new randomized algorithms, XTrace and XNysTrace, for the trace estimation problem by exploiting both variance reduction and the exchangeability principle. For a fixed budget of matvecs, numerical experiments show that the new methods can achieve errors that are orders of magnitude smaller than existing algorithms, such as the Girard-Hutchinson estimator or the Hutch++ estimator. A theoretical analysis confirms the benefits by offering a precise description of the performance of these algorithms as a function of the spectrum of the input matrix. The paper also develops an exchangeable estimator, XDiag, for approximating the diagonal of a square matrix using matvecs.

Randomized algorithms for low-rank matrix approximation: Design, analysis, and applications

Abstract: This survey explores modern approaches for computing low-rank approximations of high-dimensional matrices by means of the randomized SVD, randomized subspace iteration, and randomized block Krylov iteration. The paper compares the procedures via theoretical analyses and numerical studies to highlight how the best choice of algorithm depends on spectral properties of the matrix and the computational resources available. Despite superior performance for many problems, randomized block Krylov iteration has not been widely adopted in computational science. This paper strengthens the case for this method in three ways. First, it presents new pseudocode that can significantly reduce computational costs. Second, it provides a new analysis that yields simple, precise, and informative error bounds. Last, it showcases applications to challenging scientific problems, including principal component analysis for genetic data and spectral clustering for molecular dynamics data.

Sparse random Hamiltonians are quantumly easy

Abstract: A candidate application for quantum computers is to simulate the low-temperature properties of quantum systems. For this task, there is a well-studied quantum algorithm that performs quantum phase estimation on an initial trial state that has a nonnegligible overlap with a low-energy state. However, it is notoriously hard to give theoretical guarantees that such a trial state can be prepared efficiently. Moreover, the heuristic proposals that are currently available, such as with adiabatic state preparation, appear insufficient in practical cases. This paper shows that, for most random sparse Hamiltonians, the maximally mixed state is a sufficiently good trial state, and phase estimation efficiently prepares states with energy arbitrarily close to the ground energy. Furthermore, any low-energy state must have nonnegligible quantum circuit complexity, suggesting that low-energy states are classically nontrivial and phase estimation is the optimal method for preparing such states (up to polynomial factors). These statements hold for two models of random Hamiltonians: (i) a sum of random signed Pauli strings and (ii) a random signed $d$-sparse Hamiltonian. The main technical argument is based on some new results in nonasymptotic random matrix theory. In particular, a refined concentration bound for the spectral density is required to obtain complexity guarantees for these random Hamiltonians.

Robust, randomized preconditioning for kernel ridge regression

Abstract: This paper introduces two randomized preconditioning techniques for robustly solving kernel ridge regression (KRR) problems with a medium to large number of data points ($10^4 \leq N \leq 10^7$). The first method, RPCholesky preconditioning, is capable of accurately solving the full-data KRR problem in $O(N^2)$ arithmetic operations, assuming sufficiently rapid polynomial decay of the kernel matrix eigenvalues. The second method, KRILL preconditioning, offers an accurate solution to a restricted version of the KRR problem involving $k \ll N$ selected data centers at a cost of $O((N + k^2) k \log k)$ operations. The proposed methods solve a broad range of KRR problems and overcome the failure modes of previous KRR preconditioners, making them ideal for practical applications.