We consider statistical as well as algorithmic aspects of solving large-scale least-squares (LS) problems using randomized sketching algorithms. For a LS problem with input data $(X, Y) \in \mathbb{R}^{n \times p} \times \mathbb{R}^n$, sketching algorithms use a sketching matrix, $S\in\mathbb{R}^{r \times n}$ with $r \ll n$. Then, rather than solving the LS problem using the full data $(X,Y)$, sketching algorithms solve the LS problem using only the sketched data $(SX, SY)$. Prior work has typically adopted an algorithmic perspective, in that it has made no statistical assumptions on the input $X$ and $Y$, and instead it has been assumed that the data $(X,Y)$ are fixed and worst-case (WC). Prior results show that, when using sketching matrices such as random projections and leverage-score sampling algorithms, with $p < r \ll n$, the WC error is the same as solving the original problem, up to a small constant. From a statistical perspective, we typically consider the mean-squared error performance of randomized sketching algorithms, when data $(X, Y)$ are generated according to a statistical model $Y = X β+ ε$, where $ε$ is a noise process. 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 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 sketching algorithms. Among other results, we show that the RE can be upper bounded when $p < r \ll n$ while the PE typically requires the sample size $r$ to be substantially larger. Lower bounds developed in subsequent results show that our upper bounds on PE can not be improved.
We consider statistical and algorithmic aspects of solving large-scale least-squares (LS) problems using randomized sketching algorithms. Prior results show that, from an \emph{algorithmic perspective}, when using sketching matrices constructed from random projections and leverage-score sampling, if the number of samples $r$ much smaller than the original sample size $n$, then the worst-case (WC) error is the same as solving the original problem, up to a very small relative error. From a \emph{statistical perspective}, one typically considers the mean-squared error performance of randomized sk…
Constrained Optimization via Exact Augmented Lagrangian and Randomized Iterative Sketching
University of Chicago（芝加哥大学）；University of California, Berkeley（加州大学伯克利分校）；International Computer Science Institute（国际计算机科学研究所）；Lawrence Berkeley National Laboratory（劳伦斯伯克利国家实验室）
University of California, Berkeley（加州大学伯克利分校）；ICSI（国际计算机科学研究所）
It is often desirable to reduce the dimensionality of a large dataset by projecting it onto a low-dimensional subspace. Matrix sketching has emerged as a powerful technique for performing such dimensionality reduction very efficiently. Even though there is an extensive literature on the worst-case performance of sketching, existing guarantees are typically very different from what is observed in practice. We exploit recent developments in the spectral analysis of random matrices to develop novel techniques that provide provably accurate expressions for the expected value of random projection m…
We propose a new randomized algorithm for solving L2-regularized least-squares problems based on sketching. We consider two of the most popular random embeddings, namely, Gaussian embeddings and the Subsampled Randomized Hadamard Transform (SRHT). While current randomized solvers for least-squares optimization prescribe an embedding dimension at least greater than the data dimension, we show that the embedding dimension can be reduced to the effective dimension of the optimization problem, and still preserve high-probability convergence guarantees. In this regard, we derive sharp matrix deviat…
This article explores and analyzes the unsupervised clustering of large partially observed graphs. We propose a scalable and provable randomized framework for clustering graphs generated from the stochastic block model. The clustering is first applied to a sub-matrix of the graph's adjacency matrix associated with a reduced graph sketch constructed using random sampling. Then, the clusters of the full graph are inferred based on the clusters extracted from the sketch using a correlation-based retrieval step. Uniform random node sampling is shown to improve the computational complexity over clu…
Carnegie Mellon University（卡内基梅隆大学）；University of California Irvine（加州大学欧文分校）
Tensor CANDECOMP/PARAFAC (CP) decomposition has wide applications in statistical learning of latent variable models and in data mining. In this paper, we propose fast and randomized tensor CP decomposition algorithms based on sketching. We build on the idea of count sketches, but introduce many novel ideas which are unique to tensors. We develop novel methods for randomized computation of tensor contractions via FFTs, without explicitly forming the tensors. Such tensor contractions are encountered in decomposition methods such as tensor power iterations and alternating least squares. We also d…
University of Minnesota（明尼苏达大学）；University at Buffalo, State University of New York（纽约州立大学布法罗分校）
The nowadays massive amounts of generated and communicated data present major challenges in their processing. While capable of successfully classifying nonlinearly separable objects in various settings, subspace clustering (SC) methods incur prohibitively high computational complexity when processing large-scale data. Inspired by the random sampling and consensus (RANSAC) approach to robust regression, the present paper introduces a randomized scheme for SC, termed sketching and validation (SkeVa-)SC, tailored for large-scale data. At the heart of SkeVa-SC lies a randomized scheme for approxim…
This paper explores and analyzes two randomized designs for robust Principal Component Analysis (PCA) employing low-dimensional data sketching. In one design, a data sketch is constructed using random column sampling followed by low dimensional embedding, while in the other, sketching is based on random column and row sampling. Both designs are shown to bring about substantial savings in complexity and memory requirements for robust subspace learning over conventional approaches that use the full scale data. A characterization of the sample and computational complexity of both designs is deriv…
Random column sampling is not guaranteed to yield data sketches that preserve the underlying structures of the data and may not sample sufficiently from less-populated data clusters. Also, adaptive sampling can often provide accurate low rank approximations, yet may fall short of producing descriptive data sketches, especially when the cluster centers are linearly dependent. Motivated by that, this paper introduces a novel randomized column sampling tool dubbed Spatial Random Sampling (SRS), in which data points are sampled based on their proximity to randomly sampled points on the unit sphere…
Center for Modern Statistics, School of Mathematics, Northwest University（西北大学数学学院现代统计中心）
Spectral clustering has been one of the widely used methods for community detection in networks. However, large-scale networks bring computational challenges to the eigenvalue decomposition therein. In this paper, we study the spectral clustering using randomized sketching algorithms from a statistical perspective, where we typically assume the network data are generated from a stochastic block model that is not necessarily of full rank. To do this, we first use the recently developed sketching algorithms to obtain two randomized spectral clustering algorithms, namely, the random projection-ba…
University of Wisconsin-Madison（威斯康星大学麦迪逊分校）；Xiamen University（厦门大学）；Fudan University（复旦大学）；Duke University（杜克大学）
In this paper, we propose {\it \underline{R}ecursive} {\it \underline{I}mportance} {\it \underline{S}ketching} algorithm for {\it \underline{R}ank} constrained least squares {\it \underline{O}ptimization} (RISRO). The key step of RISRO is recursive importance sketching, a new sketching framework based on deterministically designed recursive projections, which significantly differs from the randomized sketching in the literature \citep{mahoney2011randomized,woodruff2014sketching}. Several existing algorithms in the literature can be reinterpreted under this new sketching framework and RISRO off…
Iterative Hessian sketch (IHS) is an effective sketching method for modeling large-scale data. It was originally proposed by Pilanci and Wainwright (2016; JMLR) based on randomized sketching matrices. However, it is computationally intensive due to the iterative sketch process. In this paper, we analyze the IHS algorithm under the unconstrained least squares problem setting, then propose a deterministic approach for improving IHS via A-optimal subsampling. Our contributions are three-fold: (1) a good initial estimator based on the A-optimal design is suggested; (2) a novel ridged preconditione…
University of California at Davis（加州大学戴维斯分校）；Stevens Institute of Technology（史蒂文斯理工学院）；International Computer Science Institute（国际计算机科学研究所）；University of California at Berkeley（加州大学伯克利分校）
Over the course of the past decade, a variety of randomized algorithms have been proposed for computing approximate least-squares (LS) solutions in large-scale settings. A longstanding practical issue is that, for any given input, the user rarely knows the actual error of an approximate solution (relative to the exact solution). Likewise, it is difficult for the user to know precisely how much computation is needed to achieve the desired error tolerance. Consequently, the user often appeals to worst-case error bounds that tend to offer only qualitative guidance. As a more practical alternative…
Fisher discriminant analysis (FDA) is a widely used method for classification and dimensionality reduction. When the number of predictor variables greatly exceeds the number of observations, one of the alternatives for conventional FDA is regularized Fisher discriminant analysis (RFDA). In this paper, we present a simple, iterative, sketching-based algorithm for RFDA that comes with provable accuracy guarantees when compared to the conventional approach. Our analysis builds upon two simple structural results that boil down to randomized matrix multiplication, a fundamental and well-understood …
A Bootstrap Method for Error Estimation in Randomized Matrix Multiplication
Department of Statistics University of California at Davis（加州大学戴维斯分校统计学系）；Department of Computer Science Stevens Institute of Technology（史蒂文斯理工学院计算机科学系）；International Computer Science Institute and Department of Statistics University of California at Berkeley（伯克利大学国际计算机科学研究所和统计学系）
University of Pennsylvania（宾夕法尼亚大学）；Stanford University（斯坦福大学）；Tsinghua University（清华大学）
We consider a least squares regression problem where the data has been generated from a linear model, and we are interested to learn the unknown regression parameters. We consider "sketch-and-solve" methods that randomly project the data first, and do regression after. Previous works have analyzed the statistical and computational performance of such methods. However, the existing analysis is not fine-grained enough to show the fundamental differences between various methods, such as the Subsampled Randomized Hadamard Transform (SRHT) and Gaussian projections. In this paper, we make progress o…
Sketching, a dimensionality reduction technique, has received much attention in the statistics community. In this paper, we study sketching in the context of Newton's method for solving finite-sum optimization problems in which the number of variables and data points are both large. We study two forms of sketching that perform dimensionality reduction in data space: Hessian subsampling and randomized Hadamard transformations. Each has its own advantages, and their relative tradeoffs have not been investigated in the optimization literature. Our study focuses on practical versions of the two me…
University of Minnesota（明尼苏达大学）；Georgia Institute of Technology（佐治亚理工学院）；Carnegie Mellon University（卡内基梅隆大学）
We study the least squares regression problem \begin{align*} \min_{Θ\in \mathcal{S}_{\odot D,R}} \|AΘ-b\|_2, \end{align*} where $\mathcal{S}_{\odot D,R}$ is the set of $Θ$ for which $Θ= \sum_{r=1}^{R} θ_1^{(r)} \circ \cdots \circ θ_D^{(r)}$ for vectors $θ_d^{(r)} \in \mathbb{R}^{p_d}$ for all $r \in [R]$ and $d \in [D]$, and $\circ$ denotes the outer product of vectors. That is, $Θ$ is a low-dimensional, low-rank tensor. This is motivated by the fact that the number of parameters in $Θ$ is only $R \cdot \sum_{d=1}^D p_d$, which is significantly smaller than the $\prod_{d=1}^{D} p_d$ number of …
Istituto Italiano di Tecnologia（意大利理工学院）；Università degli Studi di Genova（热那亚大学）；Facebook AI Research（脸书人工智能研究院）；INRIA Lille - Nord Europe（法国里尔-北欧国家信息与自动化研究所）
Gaussian processes (GP) are a well studied Bayesian approach for the optimization of black-box functions. Despite their effectiveness in simple problems, GP-based algorithms hardly scale to high-dimensional functions, as their per-iteration time and space cost is at least quadratic in the number of dimensions $d$ and iterations $t$. Given a set of $A$ alternatives to choose from, the overall runtime $O(t^3A)$ is prohibitive. In this paper we introduce BKB (budgeted kernelized bandit), a new approximate GP algorithm for optimization under bandit feedback that achieves near-optimal regret (and h…
Directed networks are broadly used to represent asymmetric relationships among units. Co-clustering aims to cluster the senders and receivers of directed networks simultaneously. In particular, the well-known spectral clustering algorithm could be modified as the spectral co-clustering to co-cluster directed networks. However, large-scale networks pose great computational challenges to it. In this paper, we leverage sketching techniques and derive two randomized spectral co-clustering algorithms, one \emph{random-projection-based} and the other \emph{random-sampling-based}, to accelerate the c…
The Hong Kong University of Science and Technology（香港科技大学）；Shanghai Jiao Tong University（上海交通大学）；Peking University（北京大学）；The Chinese University of Hong Kong, Shenzhen（香港中文大学（深圳））
We study the streaming model for approximate matrix multiplication (AMM). We are interested in the scenario that the algorithm can only take one pass over the data with limited memory. The state-of-the-art deterministic sketching algorithm for streaming AMM is the co-occurring directions (COD), which has much smaller approximation errors than randomized algorithms and outperforms other deterministic sketching methods empirically. In this paper, we provide a tighter error bound for COD whose leading term considers the potential approximate low-rank structure and the correlation of input matrice…
We provide a deterministic space-efficient algorithm for estimating ridge regression. For $n$ data points with $d$ features and a large enough regularization parameter, we provide a solution within $\varepsilon$ L$_2$ error using only $O(d/\varepsilon)$ space. This is the first $o(d^2)$ space deterministic streaming algorithm with guaranteed solution error and risk bound for this classic problem. The algorithm sketches the covariance matrix by variants of Frequent Directions, which implies it can operate in insertion-only streams and a variety of distributed data settings. In comparisons to ra…
We study randomized sketching methods for approximately solving least-squares problem with a general convex constraint. The quality of a least-squares approximation can be assessed in different ways: either in terms of the value of the quadratic objective function (cost approximation), or in terms of some distance measure between the approximate minimizer and the true minimizer (solution approximation). Focusing on the latter criterion, our first main result provides a general lower bound on any randomized method that sketches both the data matrix and vector in a least-squares problem; as a su…
The power of randomized algorithms in numerical methods have led to fast solutions which use the Singular Value Decomposition (SVD) as a core routine. However, given the large data size of modern and the modest runtime of SVD, most practical algorithms would require some form of approximation, such as sketching, when running SVD. While these approximation methods satisfy many theoretical guarantees, we provide the first algorithmic implementations for sketch-and-solve SVD problems on real-world, large-scale datasets. We provide a comprehensive empirical evaluation of these algorithms and provi…
