On Subspace Approximation and Subset Selection in Fewer Passes by MCMC Sampling
This work addresses computational efficiency in large-scale data analysis for machine learning and data mining by reducing pass complexity, though it is incremental as it builds on prior adaptive sampling methods.
The paper tackles the problem of subset selection for ℓ_p subspace approximation by proposing an MCMC algorithm that reduces the number of passes over data to 2 for p=2, achieving a (1+ε) approximation with a subset size of poly(k/ε) and running time of nd + d poly(k/ε).
We consider the problem of subset selection for $\ell_{p}$ subspace approximation, i.e., given $n$ points in $d$ dimensions, we need to pick a small, representative subset of the given points such that its span gives $(1+ε)$ approximation to the best $k$-dimensional subspace that minimizes the sum of $p$-th powers of distances of all the points to this subspace. Sampling-based subset selection techniques require adaptive sampling iterations with multiple passes over the data. Matrix sketching techniques give a single-pass $(1+ε)$ approximation for $\ell_{p}$ subspace approximation but require additional passes for subset selection. In this work, we propose an MCMC algorithm to reduce the number of passes required by previous subset selection algorithms based on adaptive sampling. For $p=2$, our algorithm gives subset selection of nearly optimal size in only $2$ passes, whereas the number of passes required in previous work depend on $k$. Our algorithm picks a subset of size $\mathrm{poly}(k/ε)$ that gives $(1+ε)$ approximation to the optimal subspace. The running time of the algorithm is $nd + d~\mathrm{poly}(k/ε)$. We extend our results to the case when outliers are present in the datasets, and suggest a two pass algorithm for the same. Our ideas also extend to give a reduction in the number of passes required by adaptive sampling algorithms for $\ell_{p}$ subspace approximation and subset selection, for $p \geq 2$.