Search

Randomized matrix algorithms have become workhorse tools in scientific computing and machine learning. To use these algorithms safely in applications, they should be coupled with posterior error estimates to assess the quality of the output. To meet this need, this paper proposes two diagnostics: a leave-one-out error estimator for randomized low-rank approximations and a jackknife resampling method to estimate the variance of the output of a randomized matrix computation. Both of these diagnostics are rapid to compute for randomized low-rank approximation algorithms such as the randomized SVD and randomized Nystr\"om approximation, and they provide useful information that can be used to assess the quality of the computed output and guide algorithmic parameter choices. [ABSTRACT FROM AUTHOR]

The implicit trace estimation problem asks for an approximation of the trace of a square matrix, accessed via matrix-vector products (matvecs). This paper designs new randomized algorithms, XTrace and XNysTrace, for the trace estimation problem by exploiting both variance reduction and the exchangeability principle. For a fixed budget of matvecs, numerical experiments show that the new methods can achieve errors that are orders of magnitude smaller than existing algorithms, such as the Girard--Hutchinson estimator or the Hutch++ estimator. A theoretical analysis confirms the benefits by offering a precise description of the performance of these algorithms as a function of the spectrum of the input matrix. The paper also develops an exchangeable estimator, XDiag, for approximating the diagonal of a square matrix using matvecs. [ABSTRACT FROM AUTHOR]

Quantum subspace diagonalization methods are an exciting new class of algorithms for solving large-scale eigenvalue problems using quantum computers. Unfortunately, these methods require the solution of an ill-conditioned generalized eigenvalue problem, with a matrix pencil corrupted by a nonnegligible amount of noise that is far above the machine precision. Despite pessimistic predictions from classical worst-case perturbation theories, these methods can perform reliably well if the generalized eigenvalue problem is solved using a standard truncation strategy. By leveraging and advancing classical results in matrix perturbation theory, we provide a theoretical analysis of this surprising phenomenon, proving that under certain natural conditions, a quantum subspace diagonalization algorithm can accurately compute the smallest eigenvalue of a large Hermitian matrix. We give numerical experiments demonstrating the effectiveness of the theory and providing practical guidance for the choice of truncation level. Our new results can also be of independent interest to solving eigenvalue problems outside the context of quantum computation. [ABSTRACT FROM AUTHOR]