The Living Thing / Notebooks :

Randomised linear algebra

The twin to random matrices, and elder sibling of vector random projections; doing linear algebra operations using randomised matrix projections. Useful for, e.g. randomised regression

Quite an old method, but extra hot recently.

Obligatory Igor Carron mention:

IBM has a research group in this although they seem to have gone silent since a good year in 2014.

Mart16 seems to be the best fresh review of the action.

TBD: make coherent.

To learn: Are people doing this with quasi monte carlo? SAME14 seems to be one; any others?

Implementations

Random regression

See randomised regression

Refs