Low-distortion Subspace Embeddings in Input-sparsity Time and Applications to Robust Linear Regression

Low-distortion embeddings are critical building blocks for developing random sampling and random projection algorithms for linear algebra problems. We show that, given a matrix $A \in \R^{n \times d}$ with $n \gg d$ and a $p \in [1, 2)$, with a constant probability, we can construct a low-distortion embedding matrix \Pi \in \R^{O(\poly(d)) \times n} that embeds \A_p, the $\ell_p$ subspace spanned by $A$'s columns, into (\R^{O(\poly(d))}, \| \cdot \|_p); the distortion of our embeddings is only O(\poly(d)), and we can compute $\Pi A$ in O(\nnz(A)) time, i.e., input-sparsity time. Our result generalizes the input-sparsity time $\ell_2$ subspace embedding by Clarkson and Woodruff [STOC'13]; and for completeness, we present a simpler and improved analysis of their construction for $\ell_2$. These input-sparsity time $\ell_p$ embeddings are optimal, up to constants, in terms of their running time; and the improved running time propagates to applications such as $(1\pm \epsilon)$-distortion $\ell_p$ subspace embedding and relative-error $\ell_p$ regression. For $\ell_2$, we show that a $(1+\epsilon)$-approximate solution to the $\ell_2$ regression problem specified by the matrix $A$ and a vector $b \in \R^n$ can be computed in O(\nnz(A) + d^3 \log(d/\epsilon) /\epsilon^2) time; and for $\ell_p$, via a subspace-preserving sampling procedure, we show that a $(1\pm \epsilon)$-distortion embedding of \A_p into \R^{O(\poly(d))} can be computed in O(\nnz(A) \cdot \log n) time, and we also show that a $(1+\epsilon)$-approximate solution to the $\ell_p$ regression problem $\min_{x \in \R^d} \|A x - b\|_p$ can be computed in O(\nnz(A) \cdot \log n + \poly(d) \log(1/\epsilon)/\epsilon^2) time. Moreover, we can improve the embedding dimension or equivalently the sample size to $O(d^{3+p/2} \log(1/\epsilon) / \epsilon^2)$ without increasing the complexity.Comment: 22 page

Optimal approximate matrix product in terms of stable rank

We prove, using the subspace embedding guarantee in a black box way, that one can achieve the spectral norm guarantee for approximate matrix multiplication with a dimensionality-reducing map having $m = O(\tilde{r}/\varepsilon^2)$ rows. Here $\tilde{r}$ is the maximum stable rank, i.e. squared ratio of Frobenius and operator norms, of the two matrices being multiplied. This is a quantitative improvement over previous work of [MZ11, KVZ14], and is also optimal for any oblivious dimensionality-reducing map. Furthermore, due to the black box reliance on the subspace embedding property in our proofs, our theorem can be applied to a much more general class of sketching matrices than what was known before, in addition to achieving better bounds. For example, one can apply our theorem to efficient subspace embeddings such as the Subsampled Randomized Hadamard Transform or sparse subspace embeddings, or even with subspace embedding constructions that may be developed in the future. Our main theorem, via connections with spectral error matrix multiplication shown in prior work, implies quantitative improvements for approximate least squares regression and low rank approximation. Our main result has also already been applied to improve dimensionality reduction guarantees for $k$-means clustering [CEMMP14], and implies new results for nonparametric regression [YPW15]. We also separately point out that the proof of the "BSS" deterministic row-sampling result of [BSS12] can be modified to show that for any matrices $A, B$ of stable rank at most $\tilde{r}$, one can achieve the spectral norm guarantee for approximate matrix multiplication of $A^T B$ by deterministically sampling $O(\tilde{r}/\varepsilon^2)$ rows that can be found in polynomial time. The original result of [BSS12] was for rank instead of stable rank. Our observation leads to a stronger version of a main theorem of [KMST10].Comment: v3: minor edits; v2: fixed one step in proof of Theorem 9 which was wrong by a constant factor (see the new Lemma 5 and its use; final theorem unaffected

Efficient Construction of Probabilistic Tree Embeddings

In this paper we describe an algorithm that embeds a graph metric $(V,d_G)$ on an undirected weighted graph $G=(V,E)$ into a distribution of tree metrics $(T,D_T)$ such that for every pair $u,v\in V$, $d_G(u,v)\leq d_T(u,v)$ and ${\bf{E}}_{T}[d_T(u,v)]\leq O(\log n)\cdot d_G(u,v)$. Such embeddings have proved highly useful in designing fast approximation algorithms, as many hard problems on graphs are easy to solve on tree instances. For a graph with $n$ vertices and $m$ edges, our algorithm runs in $O(m\log n)$ time with high probability, which improves the previous upper bound of $O(m\log^3 n)$ shown by Mendel et al.\,in 2009. The key component of our algorithm is a new approximate single-source shortest-path algorithm, which implements the priority queue with a new data structure, the "bucket-tree structure". The algorithm has three properties: it only requires linear time in the number of edges in the input graph; the computed distances have a distance preserving property; and when computing the shortest-paths to the $k$-nearest vertices from the source, it only requires to visit these vertices and their edge lists. These properties are essential to guarantee the correctness and the stated time bound. Using this shortest-path algorithm, we show how to generate an intermediate structure, the approximate dominance sequences of the input graph, in $O(m \log n)$ time, and further propose a simple yet efficient algorithm to converted this sequence to a tree embedding in $O(n\log n)$ time, both with high probability. Combining the three subroutines gives the stated time bound of the algorithm. Then we show that this efficient construction can facilitate some applications. We proved that FRT trees (the generated tree embedding) are Ramsey partitions with asymptotically tight bound, so the construction of a series of distance oracles can be accelerated

Multi-Embedding of Metric Spaces

Metric embedding has become a common technique in the design of algorithms. Its applicability is often dependent on how high the embedding's distortion is. For example, embedding finite metric space into trees may require linear distortion as a function of its size. Using probabilistic metric embeddings, the bound on the distortion reduces to logarithmic in the size. We make a step in the direction of bypassing the lower bound on the distortion in terms of the size of the metric. We define "multi-embeddings" of metric spaces in which a point is mapped onto a set of points, while keeping the target metric of polynomial size and preserving the distortion of paths. The distortion obtained with such multi-embeddings into ultrametrics is at most O(log Delta loglog Delta) where Delta is the aspect ratio of the metric. In particular, for expander graphs, we are able to obtain constant distortion embeddings into trees in contrast with the Omega(log n) lower bound for all previous notions of embeddings. We demonstrate the algorithmic application of the new embeddings for two optimization problems: group Steiner tree and metrical task systems