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arXiv 1409.2802cs.LGstat.ML
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高维快速核求和方法的远场压缩

Far-Field Compression for Fast Kernel Summation Methods in High Dimensions

William B. March, George Biros

摘要:

我们考虑在高维快速核求和:给定一个大的$d$维(与$d \gg 3$)和一个对势函数({ \em核}函数)的点集,我们计算所有成对的核相互作用的加权和在集合中的每个点。直接求和等价于(密集)矩阵向量乘法,并与点数成二次方。快速核求和算法将此成本降低到对数线性或线性复杂度。树码和快速多极方法(Fast Multipole Method,FIMPS)通过构建彼此远离的点的相互作用的近似表示来提供巨大的加速比。在代数方面,这些表示对应于整体相互作用矩阵的块的低秩近似。现有的方法需要大量的内核评估与增加$d$和数据集中的点的数量。为了解决这个问题,我们使用一个随机代数的方法,我们首先采样块的行,然后构建其近似的,低秩插值分解。我们研究这种方法的可行性理论和实验。我们提供了一个新的理论结果,显示了更严格的约束上的重建误差均匀采样行比现有的国家的最先进的。我们证明了我们的采样方法是有竞争力的现有的(但过于昂贵)的方法从文献中。我们还为拉普拉斯、高斯和多项式内核构建内核矩阵--所有这些都是物理和数据分析中常用的。我们探讨这些矩阵块的数值特性,并表明,他们是服从我们的方法。根据不同的数据集,我们的随机算法可以成功地计算低秩近似在高维。我们报告了环境维度从4到1000的数据集的结果。

英文摘要:

We consider fast kernel summations in high dimensions: given a large set of points in $d$ dimensions (with $d \gg 3$) and a pair-potential function (the {\em kernel} function), we compute a weighted sum of all pairwise kernel interactions for each point in the set. Direct summation is equivalent to a (dense) matrix-vector multiplication and scales quadratically with the number of points. Fast kernel summation algorithms reduce this cost to log-linear or linear complexity. Treecodes and Fast Multipole Methods (FMMs) deliver tremendous speedups by constructing approximate representations of interactions of points that are far from each other. In algebraic terms, these representations correspond to low-rank approximations of blocks of the overall interaction matrix. Existing approaches require an excessive number of kernel evaluations with increasing $d$ and number of points in the dataset. To address this issue, we use a randomized algebraic approach in which we first sample the rows of a block and then construct its approximate, low-rank interpolative decomposition. We examine the feasibility of this approach theoretically and experimentally. We provide a new theoretical result showing a tighter bound on the reconstruction error from uniformly sampling rows than the existing state-of-the-art. We demonstrate that our sampling approach is competitive with existing (but prohibitively expensive) methods from the literature. We also construct kernel matrices for the Laplacian, Gaussian, and polynomial kernels -- all commonly used in physics and data analysis. We explore the numerical properties of blocks of these matrices, and show that they are amenable to our approach. Depending on the data set, our randomized algorithm can successfully compute low rank approximations in high dimensions. We report results for data sets with ambient dimensions from four to 1,000.

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