We consider statistical and algorithmic aspects of solving large-scale least-squares (LS) problems using randomized sketching algorithms. Prior results show that, from an , when using sketching matrices constructed from random projections and leverage-score sampling, if the number of samples @math much smaller than the original sample size @math , then the worst-case (WC) error is the same as solving the original problem, up to a very small relative error. From a , one typically considers the mean-squared error performance of randomized sketching algorithms, when data are generated according to a statistical linear model. In this paper, we provide a rigorous comparison of both perspectives leading to insights on how they differ. To do this, we first develop a framework for assessing, in a unified manner, algorithmic and statistical aspects of randomized sketching methods. We then consider the statistical prediction efficiency (PE) and the statistical residual efficiency (RE) of the sketched LS estimator; and we use our framework to provide upper bounds for several types of random projection and random sampling algorithms. Among other results, we show that the RE can be upper bounded when @math is much smaller than @math , while the PE typically requires the number of samples @math to be substantially larger. Lower bounds developed in subsequent work show that our upper bounds on PE can not be improved.
Subsequent work by Pilanci and Wainwright @cite_4 also considers a statistical perspective of sketching. Amongst other results, they develop a lower bound which confirms that using a single randomized sketching matrix @math can not achieve a better PE than @math . This lower bound complements the upper bounds developed in this paper. Their main focus is to use this insight to develop an iterative sketching scheme which yields bounds on the SPE when an @math sketch is applied repeatedly.
@cite_4
2616038372 2949526110 2950897836 1970950689
We reconsider randomized algorithms for the low-rank approximation of symmetric positive semi-definite (SPSD) matrices such as Laplacian and kernel matrices that arise in data analysis and machine learning applications. Our main results consist of an empirical evaluation of the performance quality and running time of sampling and projection methods on a diverse suite of SPSD matrices. Our results highlight complementary aspects of sampling versus projection methods; they characterize the effects of common data preprocessing steps on the performance of these algorithms; and they point to important differences between uniform sampling and nonuniform sampling methods based on leverage scores. In addition, our empirical results illustrate that existing theory is so weak that it does not provide even a qualitative guide to practice. Thus, we complement our empirical results with a suite of worst-case theoretical bounds for both random sampling and random projection methods. These bounds are qualitatively superior to existing bounds--e.g., improved additive-error bounds for spectral and Frobenius norm error and relative-error bounds for trace norm error--and they point to future directions to make these algorithms useful in even larger-scale machine learning applications. We reconsider randomized algorithms for the low-rank approximation of symmetric positive semi-definite (SPSD) matrices such as Laplacian and kernel matrices that arise in data analysis and machine learning applications. Our main results consist of an empirical evaluation of the performance quality and running time of sampling and projection methods on a diverse suite of SPSD matrices. Our results highlight complementary aspects of sampling versus projection methods; they characterize the effects of common data preprocessing steps on the performance of these algorithms; and they point to important differences between uniform sampling and nonuniform sampling methods based on leverage scores. In addition, our empirical results illustrate that existing theory is so weak that it does not provide even a qualitative guide to practice. Thus, we complement our empirical results with a suite of worst-case theoretical bounds for both random sampling and random projection methods. These bounds are qualitatively superior to existing bounds---e.g. improved additive-error bounds for spectral and Frobenius norm error and relative-error bounds for trace norm error---and they point to future directions to make these algorithms useful in even larger-scale machine learning applications. We undertake a systematic study of sketching a quadratic form: given an @math matrix @math , create a succinct sketch @math which can produce (without further access to @math ) a multiplicative @math -approximation to @math for any desired query @math . While a general matrix does not admit non-trivial sketches, positive semi-definite (PSD) matrices admit sketches of size @math , via the Johnson-Lindenstrauss lemma, achieving the "for each" guarantee, namely, for each query @math , with a constant probability the sketch succeeds. (For the stronger "for all" guarantee, where the sketch succeeds for all @math 's simultaneously, again there are no non-trivial sketches.) We design significantly better sketches for the important subclass of graph Laplacian matrices, which we also extend to symmetric diagonally dominant matrices. A sequence of work culminating in that of Batson, Spielman, and Srivastava (SIAM Review, 2014), shows that by choosing and reweighting @math edges in a graph, one achieves the "for all" guarantee. Our main results advance this front. @math For the "for all" guarantee, we prove that 's bound is optimal even when we restrict to "cut queries" @math . In contrast, previous lower bounds showed the bound only for spectral-sparsifiers . @math For the "for each" guarantee, we design a sketch of size @math bits for "cut queries" @math . We prove a nearly-matching lower bound of @math bits. For general queries @math , we construct sketches of size @math bits. Given a matrix A, it is often desirable to find a good approximation to A that has low rank. We introduce a simple technique for accelerating the computation of such approximations when A has strong spectral features, that is, when the singular values of interest are significantly greater than those of a random matrix with size and entries similar to A. Our technique amounts to independently sampling and or quantizing the entries of A, thus speeding up computation by reducing the number of nonzero entries and or the length of their representation. Our analysis is based on observing that the acts of sampling and quantization can be viewed as adding a random matrix N to A, whose entries are independent random variables with zero-mean and bounded variance. Since, with high probability, N has very weak spectral features, we can prove that the effect of sampling and quantization nearly vanishes when a low-rank approximation to A p N is computed. We give high probability bounds on the quality of our approximation both in the Frobenius and the 2-norm.