Randomized algorithms for distributed computation of principal component analysis and singular value decomposition.

Adv Comput Math

Facebook Artificial Intelligence Research, 1 Facebook Way, Menlo Park, CA 94025.

Published: October 2018

Randomized algorithms provide solutions to two ubiquitous problems: (1) the distributed calculation of a principal component analysis or singular value decomposition of a highly rectangular matrix, and (2) the distributed calculation of a low-rank approximation (in the form of a singular value decomposition) to an arbitrary matrix. Carefully honed algorithms yield results that are uniformly superior to those of the stock, deterministic implementations in Spark (the popular platform for distributed computation); in particular, whereas the stock software will without warning return left singular vectors that are far from numerically orthonormal, a significantly burnished randomized implementation generates left singular vectors that are numerically orthonormal to nearly the machine precision.

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http://www.ncbi.nlm.nih.gov/pmc/articles/PMC8415723PMC
http://dx.doi.org/10.1007/s10444-018-9600-1DOI Listing

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