4:00 p.m., Wednesday (February 9, 2005)
West Mall Annex 110 (PIMS Facility)
Applications of Random Matrices in Spectral Computations and Machine Learning
We will show how carefully crafted random matrices can be used to enhance
a wide variety of computational tasks, including: dimensionality reduction,
spectral computations, and kernel methods in machine learning. Two concrete
-- Imagine that we want to compute the top few eigenvectors of a matrix A,
hoping to extract the "important" features in A. We will prove that either
this is not worth doing, or that we can begin by randomly throwing away a
large fraction of A's entries.
-- A famous result of Johnson and Lindenstrauss asserts that any set of n points
in d-dimensional Euclidean space can be embedded in k-dimensional Euclidean space,
where k=O(log n), such that all pairwise distances are preserved with arbitrarily
good accuracy. We prove that to construct such an embedding it suffices to multiply
the n x d matrix of points with a random d x k matrix, whose entries are set to
± 1 independently, with equal probability.
The emphasis of the talk will be on Euclidean intuition. In particular, no prior
knowledge on random matrices will be assumed.
Refreshments will be served at 3:45 p.m. in WMAX, Room 101 (the PIMS library).