We consider processing an n x d matrix A in a stream with row-wise updates according to a recent algorithm called Frequent Directions (Liberty, KDD 2013). This algorithm maintains an l x d matrix Q deterministically, processing each row in O(d l^2) time; the processing time can be decreased to O(d l) with a slight modification in the algorithm and a constant increase in space. We show that if one sets l = k+ k eps and returns Q_k, a k x d matrix that is the best rank k approximation to Q, then we achieve the following properties: ||A - A_k||_F^2 <= ||A||_F^2 - ||Q_k||_F^2 <= (1+eps) ||A - A_k||_F^2 and where pi_ Q_k (A) is the projection of A onto the rowspace of Q_k then ||A - pi_ Q_k (A)||_F^2 <= (1+eps) ||A - A_k||_F^2. We also show that Frequent Directions cannot be adapted to a sparse version in an obvious way that retains the l original rows of the matrix, as opposed to a linear combination or sketch of the rows.
There is a wealth of literature on this problem; most recently two algorithms @cite_0 @cite_6 showed how to construct a decomposition of @math that has rank @math with error bound @math with constant probability in approximately @math time. We refer to these papers for a more thorough survey of the history of the area, many other results, and other similar approximate linear algebra applications. But we attempt to report many of the most important related results in Appendix .
@cite_0 @cite_6
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Chapter 36 Decomposing Graphs into Regions of Small Diameter* Nathan Linialt Michael .lss A decomposition of a graph G = (V, E) is a partition of the vertex set into subsets (called lhks). The diameter of a decomposition is the least. d such that any two vertices belonging to the same connected component of a block are at distance < d. In this paper we prove (nearly best possible) statements of the form: .4ny n–vertex graph has a decomposition into a small number of blocks each having small diameter. Such decompositions provide a tool for efficiently decentralizing distributed computations. In [AGLP1 it was shown that every graph has a decomposition into at most s(n) blocks of diameter at most s(n) for s(n) = o( loglog d h n). usinga,technique of Awerbuch [A] and Awerbuch and Peleg [AP], we improve this result by showing that every graph has a decomposition of diameter ()(log n) into O(log n) blocks. In addition, we give a randomized distributed algorithm that produces such a decomposition and runs in time 0(log2 n). The construction can be parametrized to provide decompositions that trade-off between the number of blocks and the diameter. We show that this trade-off is nearly best possible for two families of graphs the first consists of skeletons of certain triangulations of a simplex and the second consists of grid graphs with added diagonals. The proofs in both cases rely on basic results in combinatorial topology, Sperner’s lemma for the first class and Tucker’s lemma for the second. *This work was supported in part by NSF contracts DMS87-03541 and CCR-8911388 tDepartment of Computer Science, Hebrew University, Jerusalem, Israel. + ‘Department of Computer Science and Engineering, Mail Code C-014, University of California, San Diego, La Jolla, CA 92093-0114. In this paper, we study decomposition methods based on separable approximations for minimizing the augmented Lagrangian. In particular, we study and compare the diagonal quadratic approximation method DQAM of Mulvey and Ruszczynski [A diagonal quadratic approximation method for large scale linear programs, Oper. Res. Lett. 12 1992, pp. 205–215] and the parallel coordinate descent method PCDM of Richtarik and Takac [Parallel coordinate descent methods for big data optimization. Technical report, November 2012. arXiv:1212.0873]. We show that the two methods are equivalent for feasibility problems up to the selection of a step-size parameter. Furthermore, we prove an improved complexity bound for PCDM under strong convexity, and show that this bound is at least 8L′ Lω−12 times better than the best known bound for DQAM, where ω is the degree of partial separability and L’ and L are the maximum and average of the block Lipschitz constants of the gradient of the quadratic penalty appearing in the augmented Lagrangian. A recent work (Wang et. al., NIPS 2015) gives the fastest known algorithms for orthogonal tensor decomposition with provable guarantees. Their algorithm is based on computing sketches of the input tensor, which requires reading the entire input. We show in a number of cases one can achieve the same theoretical guarantees in sublinear time, i.e., even without reading most of the input tensor. Instead of using sketches to estimate inner products in tensor decomposition algorithms, we use importance sampling. To achieve sublinear time, we need to know the norms of tensor slices, and we show how to do this in a number of important cases. For symmetric tensors T = ∑ki=1 λiui⊗p with λi > 0 for all i, we estimate such norms in sublinear time whenever p is even. For the important case of p = 3 and small values of k, we can also estimate such norms. For asymmetric tensors sublinear time is not possible in general, but we show if the tensor slice norms are just slightly below || T ||F then sublinear time is again possible. One of the main strengths of our work is empirical - in a number of cases our algorithm is orders of magnitude faster than existing methods with the same accuracy. We consider the problem of approximating a given m × n matrix A by another matrix of specified rank k, which is smaller than m and n. The Singular Value Decomposition (SVD) can be used to find the "best" such approximation. However, it takes time polynomial in m, n which is prohibitive for some modern applications. In this article, we develop an algorithm that is qualitatively faster, provided we may sample the entries of the matrix in accordance with a natural probability distribution. In many applications, such sampling can be done efficiently. Our main result is a randomized algorithm to find the description of a matrix D* of rank at most k so that holds with probability at least 1 − Δ (where v·vF is the Frobenius norm). The algorithm takes time polynomial in k,1 e, log(1 Δ) only and is independent of m and n. In particular, this implies that in constant time, it can be determined if a given matrix of arbitrary size has a good low-rank approximation.