De Huang

Thomas Y. Hou, D. Huang, K. C. Lam et al.

In this paper, we propose an adaptive fast solver for a general class of symmetric positive definite (SPD) matrices which include the well-known graph Laplacian. We achieve this by developing an adaptive operator compression scheme and a multiresolution matrix factorization algorithm which achieve nearly optimal performance on both complexity and well-posedness. To develop our adaptive operator compression and multiresolution matrix factorization methods, we first introduce a novel notion of energy decomposition for SPD matrix $A$ using the representation of energy elements. The interaction between these energy elements depicts the underlying topological structure of the operator. This concept of decomposition naturally reflects the hidden geometric structure of the operator which inherits the localities of the structure. By utilizing the intrinsic geometric information under this Energy framework, we propose a systematic operator compression scheme for the inverse operator $A^{-1}$. In particular, with an appropriate partition of the underlying geometric structure, we can construct localized basis by using the concept of interior and closed energy. Meanwhile, two important localized quantities are introduced, namely the error factor and the condition factor. Our error analysis results show that these two factors will be the guidelines for finding the appropriate partition of the basis functions such that prescribed compression error and acceptable condition number can be achieved. By virtue of this insight, we propose the Patch Pairing algorithm to realize our energy partition framework for operator compression with controllable compression error and condition number.

De Huang, Jonathan Niles-Weed, Rachel Ward

We analyze Oja's algorithm for streaming $k$-PCA and prove that it achieves performance nearly matching that of an optimal offline algorithm. Given access to a sequence of i.i.d. $d \times d$ symmetric matrices, we show that Oja's algorithm can obtain an accurate approximation to the subspace of the top $k$ eigenvectors of their expectation using a number of samples that scales polylogarithmically with $d$. Previously, such a result was only known in the case where the updates have rank one. Our analysis is based on recently developed matrix concentration tools, which allow us to prove strong bounds on the tails of the random matrices which arise in the course of the algorithm's execution.

Thomas Y. Hou, De Huang, Ka Chun Lam et al.

In this paper we propose a new iterative method to hierarchically compute a relatively large number of leftmost eigenpairs of a sparse symmetric positive matrix under the multiresolution operator compression framework. We exploit the well-conditioned property of every decomposition components by integrating the multiresolution framework into the Implicitly restarted Lanczos method. We achieve this combination by proposing an extension-refinement iterative scheme, in which the intrinsic idea is to decompose the target spectrum into several segments such that the corresponding eigenproblem in each segment is well-conditioned. Theoretical analysis and numerical illustration are also reported to illustrate the efficiency and effectiveness of this algorithm.