Randomized linear algebra (vp.randla)
Low-rank factorizations and trace estimates of a matrix, computed from random sketches of it.
Each result is checked against NumPy, SciPy or scikit-learn.
Part of the distribution vipyr; it runs from a checkout of the
repository. Planned on PyPI as pip install vipyr.
Functions
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vp.randla.rp_cholesky - Randomly pivoted Cholesky: F with A ~ F F^T.
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vp.randla.trace_hutchpp - Hutch++'s trace estimate from m products.