Fast computation of low rank matrix

Given a matrix A, it is often desirable to find a good approximation to A that has low rank. We introduce a simple technique for accelerating the computation of such approximations when A has strong spectral features, i.e., when the singular values of interest are significantly greater than those of a random matrix with size and entries similar to A. Our technique amounts to independently sampling and/or quantizing the entries of A, thus speeding up computation by reducing the number of non-zero entries and/or the length of their representation. Our analysis is based on observing that the acts of sampling and quantization can be viewed as adding a random matrix N to A, whose entries are independent random variables with zero-mean and bounded variance. Since, with high probability, N has very weak spectral features, we can prove that the effect of sampling and quantization nearly vanishes when a low rank approximation to A + N is computed. We give high probability bounds on the quality...

• Type: Conference
• Year: 2001
• Where: STOC
• Authors: Dimitris Achlioptas, Frank McSherry
• Keywords: Algorithms, Independent Random Variables, Low Rank Approximation, Random Matrix, STOC 2001