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We propose a new randomized algorithm for solving L2-regularized least-squares problems based on sketching.
Some methods of speeding up the convergence of iteration methods
B. T. Polyak · 1964
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Distribution of eigenvalues for some sets of random matrices
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Some inequalities for gaussian processes and applications
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Computational methods for inverse problems
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Convex optimization
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Approximate nearest neighbors and the fast johnson-lindenstrauss transform
N. Ailon and B. Chazelle · 2006
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A fast randomized algorithm for overdetermined linear least-squares regression
V. Rokhlin and M. Tygert · 2008
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The elements of statistical learning: data mining, inference, and prediction
T. Hastie, R. Tibshirani, and J. Friedman · 2009
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Blendenpik: Supercharging lapack’s least-squares solver
H. Avron, P. Maymounkov, and S. Toledo · 2010
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Note on sampling without replacing from a finite collection of matrices
D. Gross and V. Nesme · 2010
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Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
H. Avron and S. Toledo · 2011
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Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
N. Halko, P.-G. Martinsson, and J. A. Tropp · 2011
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Randomized algorithms for matrices and data
M. W. Mahoney · 2011
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Improved analysis of the subsampled randomized hadamard transform
J. Tropp · 2011
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Sharp analysis of low-rank kernel matrix approximations
F. Bach · 2013
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Kalman filtering: Theory and Practice with MATLAB
M. S. Grewal and A. P. Andrews · 2014
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Lsrn: A parallel iterative solver for strongly over-or underdetermined systems
X. Meng, M. A. Saunders, and M. W. Mahoney · 2014
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A tight version of the gaussian min-max theorem in the presence of convexity
C. Thrampoulidis, S. Oymak, and B. Hassibi · 2014
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Fast randomized kernel ridge regression with statistical guarantees
A. Alaoui and M. W. Mahoney · 2015
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Fast relative-error approximation algorithm for ridge regression
S. Chen, Y. Liu, M. R. Lyu, I. King, and S. Zhang · 2015
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Concentration inequalities and moment bounds for sample covariance operators
V. Koltchinskii, K. Lounici, et al · 2017
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Newton sketch: A near linear-time optimization algorithm with linear-quadratic convergence
M. Pilanci and M. J. Wainwright · 2017
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Sketched ridge regression: Optimization perspective, statistical perspective, and model averaging
S. Wang, A. Gittens, and M. W. Mahoney · 2017
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An iterative, sketching-based framework for ridge regression
A. Chowdhury, J. Yang, and P. Drineas · 2018
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High-dimensional probability: An introduction with applications in data science
R. Vershynin · 2018
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Asymptotics for sketching in least squares regression
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Randomized approximation of the gram matrix: Exact computation and probabilistic bounds
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Randomized sketches of convex programs with sharp guarantees
M. Pilanci and M. J. Wainwright · 2015
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An introduction to matrix concentration inequalities
J. Tropp · 2015
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Optimal approximate matrix product in terms of stable rank
M. B. Cohen, J. Nelson, and D. P. Woodruff · 2016
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RandNLA: randomized numerical linear algebra
P. Drineas and M. W. Mahoney · 2016
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Fast randomized algorithms for convex optimization and statistical estimation
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E. Dobriban and S. Liu · 2019
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Faster least squares optimization
J. Lacotte and M. Pilanci · 2019
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Iterative hessian sketch with momentum
I. Ozaslan, M. Pilanci, and O. Arikan · 2019
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Regularized momentum iterative hessian sketch for large scale linear system of equations
I. K. Ozaslan, M. Pilanci, and O. Arikan · 2019
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Distributed averaging methods for randomized second order optimization
B. Bartan and M. Pilanci · 2020
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Distributed sketching methods for privacy preserving regression
B. Bartan and M. Pilanci · 2020
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Debiasing distributed second order optimization with surrogate sketching and scaled regularization
M. Dereziński, B. Bartan, M. Pilanci, and M. W. Mahoney · 2020
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Optimal randomized first-order methods for least-squares problems
J. Lacotte and M. Pilanci · 2020
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Lower bounds and a near-optimal shrinkage estimator for least squares using random projections
S. Sridhar, M. Pilanci, and A. Ozgur · 2020
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