Wednesday, August 24, 2016

How to Fake Multiply by a Gaussian Matrix

You know what happens when Random Matrices Are Too Damn Large and so yuuuggge, they cannot be held in memory nor processed ? well, the answer is to fake them till you make it. I like how the authors used the phase transition diagrams to show the similarity of two algorithms.

How to Fake Multiply by a Gaussian Matrix by Michael Kapralov, Vamsi K. Potluru, David P. Woodruff

Have you ever wanted to multiply an n×d matrix X, with nd, on the left by an m×n matrix G~ of i.i.d. Gaussian random variables, but could not afford to do it because it was too slow? In this work we propose a new randomized m×n matrix T, for which one can compute TX in only O(nnz(X))+O~(m1.5d3) time, for which the total variation distance between the distributions TX and G~X is as small as desired, i.e., less than any positive constant. Here nnz(X) denotes the number of non-zero entries of X. Assuming nnz(X)m1.5d3, this is a significant savings over the na\"ive O(nnz(X)m) time to compute G~X. Moreover, since the total variation distance is small, we can provably use TX in place of G~X in any application and have the same guarantees as if we were using G~X, up to a small positive constant in error probability. We apply this transform to nonnegative matrix factorization (NMF) and support vector machines (SVM).

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