A sequential multilinear Nyström algorithm for streaming low-rank approximation of tensors in Tucker format

Abstract: We present a sequential version of the multilinear Nystr\"om algorithm which is suitable for the low-rank Tucker approximation of tensors given in a streaming format. Accessing the tensor $\mathcal{A}$ exclusively through random sketches of the original data, the algorithm effectively leverages structures in $\mathcal{A}$, such as low-rankness, and linear combinations. We present a deterministic analysis of the algorithm and demonstrate its superior speed and efficiency in numerical experiments including an application in video processing.