A Probabilistic Subspace Bound with Application to Active Subspaces

DOI10.1137/17M1141503zbMath1448.60111arXiv1801.00682WikidataQ129419482 ScholiaQ129419482MaRDI QIDQ4584918

Ralph C. Smith, Ilse C. F. Ipsen, John T. Holodnak

Publication date: 5 September 2018

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.00682

zbMATH Keywords

intrinsic dimensionMonte Carlo samplingpositive semidefinite matriceseigenvalue decompositionprincipal anglesactive subspaceseigenvalue gapsmatrix concentration inequality

Mathematics Subject Classification ID

Random fields (60G60) Factorization of matrices (15A23) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Eigenvalues, singular values, and eigenvectors (15A18) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Numerical interpolation (65D05) Numerical solutions to stochastic differential and integral equations (65C30)

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