# (01/19/21) Householder Dice: a new matrix-free algorithm for simulating dynamics on random matrices

January 19, 2021

In many problems in statistical learning, random matrix theory, and statistical physics, one needs to simulate dynamics on random matrix ensembles. A classical example is to use iterative methods to compute the extremal eigenvalues/eigenvectors of a (spiked) random matrix. Other examples include approximate message passing on dense random graphs, and gradient descent algorithms for solving learning and estimation problems with random design. In our recent paper, we show that all of these...

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