Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is particularly effective in handling high-dimensional inner products and matrix multiplication, in applications of image analysis and large-scale supervised learning.

Citation information

Yue Wu, Nick Polydorides, "A Multilevel Monte Carlo Estimator for Matrix Multiplication”, arxiv.org/abs/1904.00429

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