A Nonuniform Fast Fourier Transform Based on Low Rank Approximation

By viewing the nonuniform discrete Fourier transform (NUDFT) as a perturbed version of a uniform discrete Fourier transform, we propose a fast and quasi-optimal algorithm for computing the NUDFT based on the fast Fourier transform (FFT). Our key observation is that an NUDFT and DFT matrix divided entry by entry is often well approximated by a low rank matrix, allowing us to express a NUDFT matrix as a sum of diagonally scaled DFT matrices. Our algorithm is simple to implement, automatically adapts to any working precision, and is competitive with state-of-the-art algorithms. In the fully uniform case, our algorithm is essentially the FFT. We also describe quasi-optimal algorithms for the inverse NUDFT and two-dimensional NUDFTs.The first author’s work was supported by Ministerio de Economía y Competitividad (reference BES-2013-064743). The second author’s work was supported by National Science Foundation grant 164544

Fast Computation of Fourier Integral Operators

We introduce a general purpose algorithm for rapidly computing certain types of oscillatory integrals which frequently arise in problems connected to wave propagation and general hyperbolic equations. The problem is to evaluate numerically a so-called Fourier integral operator (FIO) of the form $\int e^{2\pi i \Phi(x,\xi)} a(x,\xi) \hat{f}(\xi) \mathrm{d}\xi$ at points given on a Cartesian grid. Here, $\xi$ is a frequency variable, $\hat f(\xi)$ is the Fourier transform of the input $f$, $a(x,\xi)$ is an amplitude and $\Phi(x,\xi)$ is a phase function, which is typically as large as $|\xi|$; hence the integral is highly oscillatory at high frequencies. Because an FIO is a dense matrix, a naive matrix vector product with an input given on a Cartesian grid of size $N$ by $N$ would require $O(N^4)$ operations. This paper develops a new numerical algorithm which requires $O(N^{2.5} \log N)$ operations, and as low as $O(\sqrt{N})$ in storage space. It operates by localizing the integral over polar wedges with small angular aperture in the frequency plane. On each wedge, the algorithm factorizes the kernel $e^{2 \pi i \Phi(x,\xi)} a(x,\xi)$ into two components: 1) a diffeomorphism which is handled by means of a nonuniform FFT and 2) a residual factor which is handled by numerical separation of the spatial and frequency variables. The key to the complexity and accuracy estimates is that the separation rank of the residual kernel is \emph{provably independent of the problem size}. Several numerical examples demonstrate the efficiency and accuracy of the proposed methodology. We also discuss the potential of our ideas for various applications such as reflection seismology.Comment: 31 pages, 3 figure

A Fast and Accurate Algorithm for Spherical Harmonic Analysis on HEALPix Grids with Applications to the Cosmic Microwave Background Radiation

The Hierarchical Equal Area isoLatitude Pixelation (HEALPix) scheme is used extensively in astrophysics for data collection and analysis on the sphere. The scheme was originally designed for studying the Cosmic Microwave Background (CMB) radiation, which represents the first light to travel during the early stages of the universe's development and gives the strongest evidence for the Big Bang theory to date. Refined analysis of the CMB angular power spectrum can lead to revolutionary developments in understanding the nature of dark matter and dark energy. In this paper, we present a new method for performing spherical harmonic analysis for HEALPix data, which is a central component to computing and analyzing the angular power spectrum of the massive CMB data sets. The method uses a novel combination of a non-uniform fast Fourier transform, the double Fourier sphere method, and Slevinsky's fast spherical harmonic transform (Slevinsky, 2019). For a HEALPix grid with $N$ pixels (points), the computational complexity of the method is $\mathcal{O}(N\log^2 N)$, with an initial set-up cost of $\mathcal{O}(N^{3/2}\log N)$. This compares favorably with $\mathcal{O}(N^{3/2})$ runtime complexity of the current methods available in the HEALPix software when multiple maps need to be analyzed at the same time. Using numerical experiments, we demonstrate that the new method also appears to provide better accuracy over the entire angular power spectrum of synthetic data when compared to the current methods, with a convergence rate at least two times higher

Revisiting the Nystrom Method for Improved Large-Scale Machine Learning

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.Comment: 60 pages, 15 color figures; updated proof of Frobenius norm bounds, added comparison to projection-based low-rank approximations, and an analysis of the power method applied to SPSD sketche