Rapid factorization of structured matrices via randomized sampling

Randomized sampling has recently been demonstrated to be an efficient technique for computing approximate low-rank factorizations of matrices for which fast methods for computing matrix vector products are available. This paper describes an extension of such techniques to a wider class of matrices that are not themselves rankdeficient, but have off-diagonal blocks that are. Such matrices arise frequently in numerical analysis and signal processing, and there exist several methods for rapidly performing algebraic operations (matrixvector multiplications, matrix factorizations, matrix inversion, etc) on them once low-rank approximations to all off-diagonal blocks have been constructed. The paper demonstrates that if such a matrix can be applied to a vector in O(N) time, where the matrix is of size N×N , and if individual entries of the matrix can be computed rapidly, then in many cases, the task of constructing approximate low-rank factorizations for all off-diagonal blocks can be performed in O(N k2) time, where k is an upper bound for the numerical rank of the off-diagonal blocks.