Randomly Pivoted Cholesky algorithm, implemented in Julia, based on the description in https://arxiv.org/abs/2207.06503 by Chen et al.
This package has been added to General Registry. You can install it with the command:
(@v1.x) pkg> add RPCholesky
- Implement blocked RPCholesky
- Implement RPCholesky accelerated spectral clustering
This package has been developed in conjunction with R.J. Webber and D. Aristoff.
This work has been supported by:
- NSF DMS-2111278
- Y. Chen, E. N. Epperly, J. A. Tropp, and R. J. Webber, “Randomly pivoted Cholesky: Practical approximation of a kernel matrix with few entry evaluations.” arXiv, Feb. 22, 2023. doi: 10.48550/arXiv.2207.06503.
- M. Díaz, E. N. Epperly, Z. Frangella, J. A. Tropp, and R. J. Webber, “Robust, randomized preconditioning for kernel ridge regression.” arXiv, Aug. 02, 2023. doi: 10.48550/arXiv.2304.12465.