The idea of randomized low-rank matrix approximations is to restrict the high-dimensional input data matrix to a low-dimensional space. In plain words, the aim is to find a smaller matrix which captures the essential information of the input matrix. This smaller matrix can then be used to extract (learn) the coherent structure of the data. Probabilistic algorithms considerably reduce the computational demands of traditional (deterministic) algorithms, and the computational advantage becomes pronounced with increasing matrix dimensions.

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The Python software library ristretto provides a collection of randomized matrix algorithms which can be used for dimension reduction. Overview of implemented routines:

Get started

Obtaining the Latest Software via GIT

To get the latest stable and development versions of ristretto run:

$ git clone https://github.com/erichson/ristretto

Then, to build and install the package, run from within the main directory in the release:

$ python setup.py install

Note you will need the following 3rd party packages installed in your environment:

  • numpy
  • scipy
  • Cython
  • scikit-learn
  • nose

After successfully installing the ristretto library, the unit tests can be run by:

$ python setup.py test

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