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arXiv 1602.03360math.NAcs.NA
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利用子高斯随机矩阵的矩阵分解

Matrix Decompositions using sub-Gaussian Random Matrices

School of Applied Mathematics, Tel Aviv University(特拉维夫大学应用数学学院);School of Computer Science, Tel Aviv University(特拉维夫大学计算机科学学院)

Yariv Aizenbud, Amir Averbuch

AI总结:

本文提出一种利用子高斯随机矩阵进行矩阵分解的新算法,该算法在高概率下能以近似最优复杂度实现矩阵的秩r近似分解,并在实践中表现出更快的速度和与现有算法相当的误差率。

摘要:

近年来,几种近似矩阵分解的算法已被开发,这些算法基于随机投影线性空间的度量保持特性。我们证明了独立同分布的子高斯矩阵在高概率下具有零元素是度量保持的。我们还提出了一种新算法,该算法以高概率实现对m×n矩阵的秩r分解近似,其渐进行为与现有最佳算法相当。我们推导出一个不依赖前r个奇异值的误差界。尽管证明的误差界不如现有最佳界紧,但实验显示所提出算法在实践中更快,同时获得与现有算法相同的误差率。

英文摘要:

In recent years, several algorithms, which approximate matrix decomposition, have been developed. These algorithms are based on metric conservation features for linear spaces of random projection types. We show that an i.i.d sub-Gaussian matrix with large probability to have zero entries is metric conserving. We also present a new algorithm, which achieves with high probability, a rank $r$ decomposition approximation for an $m \times n$ matrix that has an asymptotic complexity like state-of-the-art algorithms. We derive an error bound that does not depend on the first $r$ singular values. Although the proven error bound is not as tight as the state-of-the-art bound, experiments show that the proposed algorithm is faster in practice, while getting the same error rates as the state-of-the-art algorithms get.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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