Detecting low-rank clusters via random sampling

  • Authors:
  • Aaditya V. Rangan

  • Affiliations:
  • Courant Institute of Mathematical Sciences, 251 Mercer Street, New York, NY 10012, United States

  • Venue:
  • Journal of Computational Physics
  • Year:
  • 2012

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Abstract

We present an algorithm for detecting a low-rank cluster of vectors from within a much larger group of vectors. This algorithm relies on a basic geometric property of high-dimensional space: Most of the volume of a typical eccentric ellipsoid is confined to relatively few orthants within the ambient space. This simple fact can be used to quickly detect a collection of vectors with low numerical rank from amongst a larger group of vectors with higher numerical rank.