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Another approach, which might be of interest to you is randomized sampling. This is of particular interest if you can quickly compute matrix-vector products $x\rightarrow Ax$ and $x\rightarrow A^* x$. The core idea is to form a small sampling matrix $S = A\Omega$, where $\Omega$ is a Gaussian random matrix. If the sampling matrix is large enough, $S$ will ...


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