2015 Gene Golub SIAM Summer School (G2S3): Randomization in Numerical Linear Algebra (RandNLA)

North Carolina State University, Raleigh NC

Investigators

Abstract

This project supports the participation of about 25 US based Ph.D. students at the Gene Golub SIAM Summer School. The Summer School will take place 15-26 June 2015, at the European Cultural Centre of Delphi, in Greece, and the topic is "Randomization in Numerical Linear Algebra (RandNLA)". Randomization, when it comes down to it, amounts to playing dice and taking chances. At first sight it appears to be an unconscionable approach for a scientific investigation. However, randomization goes back to Los Alamos National Laboratory in 1946, where John von Neumann, Stanislaw Ulam and Nicholas Metropolis designed Monte Carlo methods to model the behavior of neutrons for the purpose of radiation shielding. When applied judiciously and with great statistical care, randomized sampling can reduce a data deluge to a manageable volume. RandNLA, specifically, is a new interdisciplinary area that targets big data applications in data mining, information retrieval, and internet modeling, as well as more traditional areas like genetics and astronomy. The difficulty is guaranteeing reliability and predictable behaviour in the face of randomization. The development and analysis of RandNLA methods requires innovative tools from applied mathematics, statistics, computer science, and optimization. The summer school will give the students an interdisciplinary education in an area that is too fresh to have produced textbooks. They will learn the relevant theoretical foundations in linear algebra, probability theory, numerical methods, theory of algorithms, and convex optimization; and they will be exposed to applications in data analysis and machine learning. The students will also interactively participate in projects that combine algorithm design, numerical implementations, and empirical evaluations on real data. More information about this summer school can be found at http://scgroup19.ceid.upatras.gr/g2s32015/.