论文标题
通过Bootstrap绘制的SVD的错误估计
Error Estimation for Sketched SVD via the Bootstrap
论文作者
论文摘要
为了将快速近似值计算到非常大的矩阵的奇异值分解(SVD)中,随机素描算法已成为一种领先的方法。但是,绘制SVD的关键难度是用户不知道草绘的奇异向量/值与确切的矢量有多远。实际上,用户可能被迫依靠分析性最差误差范围,这不能解释给定问题的唯一结构。结果,缺乏用于误差估计的工具通常会导致计算要比真正必要的要多得多。为了克服这些挑战,本文开发了一种完全数据驱动的引导方法,该方法从数值上估计了绘制的奇异向量/值的实际误差。特别是,这允许用户检查粗糙的初始草图SVD的质量,然后自适应地预测达到给定的误差含量需要多少额外的工作。此外,该方法在计算上是便宜的,因为它仅在草图的对象上运行,并且不需要对整个矩阵的纳入。最后,该方法得到了理论保证和非常令人鼓舞的实验结果的支持。
In order to compute fast approximations to the singular value decompositions (SVD) of very large matrices, randomized sketching algorithms have become a leading approach. However, a key practical difficulty of sketching an SVD is that the user does not know how far the sketched singular vectors/values are from the exact ones. Indeed, the user may be forced to rely on analytical worst-case error bounds, which do not account for the unique structure of a given problem. As a result, the lack of tools for error estimation often leads to much more computation than is really necessary. To overcome these challenges, this paper develops a fully data-driven bootstrap method that numerically estimates the actual error of sketched singular vectors/values. In particular, this allows the user to inspect the quality of a rough initial sketched SVD, and then adaptively predict how much extra work is needed to reach a given error tolerance. Furthermore, the method is computationally inexpensive, because it operates only on sketched objects, and it requires no passes over the full matrix being factored. Lastly, the method is supported by theoretical guarantees and a very encouraging set of experimental results.