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arXiv 2106.04487cs.LGcs.NAmath.NA
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快速核变换

The Fast Kernel Transform

Cornell University(康奈尔大学)

John Paul Ryan, Sebastian Ament, Carla P. Gomes, Anil Damle

摘要:

核方法是现代机器学习算法的一个高效且广泛使用的集合。实际上所有这些方法的基本限制是涉及简单地二次缩放的核矩阵的计算(例如,构造核矩阵和矩阵向量乘法)或三次(求解线性系统)与数据集的大小$N.$我们提出了快速核变换(FKT),一种通用算法,用于计算具有准线性复杂度的中等维度数据集的矩阵向量乘法(MVMs)。通常,基于分析的快速乘法方法需要针对特定内核进行专门的开发。相比之下,我们的计划是基于自动微分和自动符号计算,利用底层内核的分析结构。这使得FKT可以很容易地应用于广泛的内核,包括高斯,Matern和有理二次协方差函数和物理激励的格林函数,包括拉普拉斯和亥姆霍兹方程。此外,FKT保持了高的、可量化的和可控的精度水平--这是许多加速方法所缺乏的特性。我们说明了FKT的有效性和多功能性,通过提供时间和准确性基准,并将其应用于规模的随机邻域嵌入(t-SNE)和高斯过程的大型现实世界的数据集。

英文摘要:

Kernel methods are a highly effective and widely used collection of modern machine learning algorithms. A fundamental limitation of virtually all such methods are computations involving the kernel matrix that naively scale quadratically (e.g., constructing the kernel matrix and matrix-vector multiplication) or cubically (solving linear systems) with the size of the data set $N.$ We propose the Fast Kernel Transform (FKT), a general algorithm to compute matrix-vector multiplications (MVMs) for datasets in moderate dimensions with quasilinear complexity. Typically, analytically grounded fast multiplication methods require specialized development for specific kernels. In contrast, our scheme is based on auto-differentiation and automated symbolic computations that leverage the analytical structure of the underlying kernel. This allows the FKT to be easily applied to a broad class of kernels, including Gaussian, Matern, and Rational Quadratic covariance functions and physically motivated Green's functions, including those of the Laplace and Helmholtz equations. Furthermore, the FKT maintains a high, quantifiable, and controllable level of accuracy -- properties that many acceleration methods lack. We illustrate the efficacy and versatility of the FKT by providing timing and accuracy benchmarks and by applying it to scale the stochastic neighborhood embedding (t-SNE) and Gaussian processes to large real-world data sets.

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