Randomized Nyström approximation of non-negative self-adjoint operators
File(s)2404.00960v2.pdf (3.9 MB)
Accepted version
Author(s)
Persson, David
Boullé, Nicolas
Kressner, Daniel
Type
Journal Article
Abstract
The randomized singular value decomposition (SVD) has become a popular approach to computing cheap, yet accurate, low-rank approximations to matrices due to its efficiency and strong theoretical guarantees. Recent work by Boullé and Townsend [Found. Comput. Math., 23 (2023), pp. 709–739] presents an infinite-dimensional analogue of the randomized SVD to approximate Hilbert–Schmidt operators. However, many applications involve computing low-rank approximations to symmetric positive semi-definite matrices. In this setting, it is well established that the randomized Nyström approximation is usually preferred over the randomized SVD. This paper explores an infinite-dimensional analogue of the Nyström approximation to compute low-rank approximations to non-negative self-adjoint trace-class operators. We present an analysis of the method and, along the way, improve the existing infinite-dimensional bounds for the randomized SVD. Our analysis yields bounds on the expected value and tail bounds for the Nyström approximation error in the operator, trace, and Hilbert–Schmidt norms. Numerical experiments on integral operators arising from Gaussian process sampling and Bayesian inverse problems are used to validate the proposed infinite-dimensional Nyström algorithm.
Date Issued
2025-06-30
Date Acceptance
2025-02-19
Citation
SIAM Journal on Mathematics of Data Science, 2025, 7 (2), pp.670-698
ISSN
2577-0187
Publisher
Society for Industrial and Applied Mathematics
Start Page
670
End Page
698
Journal / Book Title
SIAM Journal on Mathematics of Data Science
Volume
7
Issue
2
Copyright Statement
© 2025 Society for Industrial and Applied Mathematics. This is the author’s accepted manuscript made available under a CC-BY licence in accordance with Imperial’s Research Publications Open Access policy (www.imperial.ac.uk/oa-policy)
License URL
Publication Status
Published
Date Publish Online
2025-05-13