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FMR: Fast randomized algorithms for covariance matrix computations

hal.structure.identifierHigh-End Parallel Algorithms for Challenging Numerical Simulations [HiePACS]
dc.contributor.authorBLANCHARD, Pierre
hal.structure.identifierHigh-End Parallel Algorithms for Challenging Numerical Simulations [HiePACS]
hal.structure.identifierLaboratoire Bordelais de Recherche en Informatique [LaBRI]
dc.contributor.authorCOULAUD, Olivier
hal.structure.identifierDepartment of Mechanical Engineering [Stanford]
hal.structure.identifierInstitute for Computational and Mathematical Engineering [Stanford] [ICME]
dc.contributor.authorDARVE, Eric
hal.structure.identifierBiodiversité, Gènes & Communautés [BioGeCo]
hal.structure.identifierfrom patterns to models in computational biodiversity and biotechnology [PLEIADE]
dc.contributor.authorFRANC, Alain
dc.date.created2016-06-08
dc.date.issued2016-06-08
dc.date.conference2016-06-08
dc.description.abstractEnWe present an open-source library implementing fast algorithms for covari-ance matrices computations, e.g., randomized low-rank approximations (LRA) and fast multipole matrix multiplication (FMM). The library can be used to approximate square roots of low-rank covariance matrices in O(N 2) operations in SVD form using randomized LRA, instead of the standard O(N 3) cost. Low-rank covariance matrices given as kernels, e.g., Gaussian decay, evaluated on 3D grids can be decomposed in O(N) operations using the FMM. The performance of the library is illustrated on two examples: • Generation of Gaussian Random Fields (GRF) on large spatial grids • MultiDimensional Scaling (MDS) for the classification of species.
dc.language.isoen
dc.title.enFMR: Fast randomized algorithms for covariance matrix computations
dc.typeAutre communication scientifique (congrès sans actes - poster - séminaire...)
dc.subject.halInformatique [cs]/Analyse numérique [cs.NA]
dc.subject.halInformatique [cs]/Logiciel mathématique [cs.MS]
dc.subject.halStatistiques [stat]/Applications [stat.AP]
dc.subject.halSciences du Vivant [q-bio]/Biodiversité/Systématique, phylogénie et taxonomie
bordeaux.conference.titlePlatform for Advanced Scientific Computing (PASC)
bordeaux.countryCH
bordeaux.conference.cityLausanne
bordeaux.peerReviewedoui
hal.identifierhal-01334747
hal.version1
hal.invitednon
hal.proceedingsnon
hal.conference.organizerUSI
hal.conference.organizerCSCS
hal.conference.organizerEPFL
hal.conference.end2016-06-10
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01334747v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2016-06-08&rft.au=BLANCHARD,%20Pierre&COULAUD,%20Olivier&DARVE,%20Eric&FRANC,%20Alain&rft.genre=conference


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