Improved bounds for randomized Schatten norm estimation of numerically low-rank matrices
<|reference_start|>Improved bounds for randomized Schatten norm estimation of numerically low-rank matrices: In this work, we analyze the variance of a stochastic estimator for computing Schatten norms of matrices. The estimator extracts information from a single sketch of the matrix, that is, the product of the matrix with a few standard Gaussian random vectors. While this estimator has been proposed and used in the literature before, the existing variance bounds are often pessimistic. Our work provides a sharper upper bound on the variance and we also give estimates of the variance that work well for numerically low-rank matrices. Our theoretical findings are supported by numerical experiments, demonstrating that the new bounds are significantly tighter than the existing ones.<|reference_end|>
@article{chu2024improved,
    title={Improved bounds for randomized Schatten norm estimation of numerically
  low-rank matrices},
    author={Ya-Chi Chu and Alice Cortinovis},
    journal={arXiv preprint arXiv:2408.17414},
    year={2024},
    archivePrefix={arXiv},
    eprint={2408.17414},
    primaryClass={math.NA cs.NA}
}