RandomizedLinAlg.jl

RandomizedLinAlg.jl is a Julia package that provides randomized algorithms for numerical linear algebra as advocated in [1].

This package was split off from IterativeSolvers.jl as randomized algorithms were not considered well-established and potentially unstable.

See the manual for the available methods.

[1]: Halko, Nathan, Per-Gunnar Martinsson, and Joel A. Tropp. "Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions." SIAM review 53.2 (2011): 217-288.