755 research outputs found
Recovering the Optimal Solution by Dual Random Projection
Random projection has been widely used in data classification. It maps
high-dimensional data into a low-dimensional subspace in order to reduce the
computational cost in solving the related optimization problem. While previous
studies are focused on analyzing the classification performance of using random
projection, in this work, we consider the recovery problem, i.e., how to
accurately recover the optimal solution to the original optimization problem in
the high-dimensional space based on the solution learned from the subspace
spanned by random projections. We present a simple algorithm, termed Dual
Random Projection, that uses the dual solution of the low-dimensional
optimization problem to recover the optimal solution to the original problem.
Our theoretical analysis shows that with a high probability, the proposed
algorithm is able to accurately recover the optimal solution to the original
problem, provided that the data matrix is of low rank or can be well
approximated by a low rank matrix.Comment: The 26th Annual Conference on Learning Theory (COLT 2013
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