On Subspace Approximation and Subset Selection in Fewer Passes by MCMC Sampling

• URL: http://arxiv.org/abs/2103.11107v1
• Date: Sat, 20 Mar 2021 06:07:30 GMT
• Title: On Subspace Approximation and Subset Selection in Fewer Passes by MCMC Sampling
• Authors: Amit Deshpande and Rameshwar Pratap
• Abstract summary: Sampling-based subset selection techniques require adaptive sampling iterations with multiple passes over the data. We propose an MCMC algorithm to reduce the number of passes required by previous subset selection algorithms. Our algorithm picks a subset of size $mathrmpoly(k/epsilon)$ that gives $(1+epsilon)$ approximation to the optimal subspace.
• Score: 3.1822873305165618
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We consider the problem of subset selection for $\ell_{p}$ subspace approximation, i.e., given $n$ points in $d$ dimensions, we need to pick a small, representative subset of the given points such that its span gives $(1+\epsilon)$ approximation to the best $k$-dimensional subspace that minimizes the sum of $p$-th powers of distances of all the points to this subspace. Sampling-based subset selection techniques require adaptive sampling iterations with multiple passes over the data. Matrix sketching techniques give a single-pass $(1+\epsilon)$ approximation for $\ell_{p}$ subspace approximation but require additional passes for subset selection. In this work, we propose an MCMC algorithm to reduce the number of passes required by previous subset selection algorithms based on adaptive sampling. For $p=2$, our algorithm gives subset selection of nearly optimal size in only $2$ passes, whereas the number of passes required in previous work depend on $k$. Our algorithm picks a subset of size $\mathrm{poly}(k/\epsilon)$ that gives $(1+\epsilon)$ approximation to the optimal subspace. The running time of the algorithm is $nd + d~\mathrm{poly}(k/\epsilon)$. We extend our results to the case when outliers are present in the datasets, and suggest a two pass algorithm for the same. Our ideas also extend to give a reduction in the number of passes required by adaptive sampling algorithms for $\ell_{p}$ subspace approximation and subset selection, for $p \geq 2$.

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