Faster Eigenvector Computation via Shift-and-Invert Preconditioning

Abstract

We give faster algorithms and improved sample complexities for estimating the top eigenvector of a matrix $\Sigma$ -- i.e. computing a unit vector $x$ such that $x^T \Sigma x \ge (1-\epsilon)\lambda_1(\Sigma)$: Offline Eigenvector Estimation: Given an explicit $A \in \mathbb{R}^{n \times d}$ with $\Sigma = A^TA$, we show how to compute an $\epsilon$ approximate top eigenvector in time $\tilde O([nnz(A) + \frac{d*sr(A)}{gap^2} ]* \log 1/\epsilon )$ and $\tilde O([\frac{nnz(A)^{3/4} (d*sr(A))^{1/4}}{\sqrt{gap}} ] * \log 1/\epsilon )$. Here $nnz(A)$ is the number of nonzeros in $A$, $sr(A)$ is the stable rank, $gap$ is the relative eigengap. By separating the $gap$ dependence from the $nnz(A)$ term, our first runtime improves upon the classical power and Lanczos methods. It also improves prior work using fast subspace embeddings [AC09, CW13] and stochastic optimization [Sha15c], giving significantly better dependencies on $sr(A)$ and $\epsilon$. Our second running time improves these further when $nnz(A) \le \frac{d*sr(A)}{gap^2}$. Online Eigenvector Estimation: Given a distribution $D$ with covariance matrix $\Sigma$ and a vector $x_0$ which is an $O(gap)$ approximate top eigenvector for $\Sigma$, we show how to refine to an $\epsilon$ approximation using $O(\frac{var(D)}{gap*\epsilon})$ samples from $D$. Here $var(D)$ is a natural notion of variance. Combining our algorithm with previous work to initialize $x_0$, we obtain improved sample complexity and runtime results under a variety of assumptions on $D$. We achieve our results using a general framework that we believe is of independent interest. We give a robust analysis of the classic method of shift-and-invert preconditioning to reduce eigenvector computation to approximately solving a sequence of linear systems. We then apply fast stochastic variance reduced gradient (SVRG) based system solvers to achieve our claims.Comment: Appearing in ICML 2016. Combination of work in arXiv:1509.05647 and arXiv:1510.0889