Alex Gittens, Michael W. Mahoney.
Year: 2016, Volume: 17, Issue: 117, Pages: 1−65
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.