Tight Sensitivity Bounds For Smaller Coresets

TLDR: In this paper, the authors proposed an e-coreset to the dimensionality reduction problem for a (possibly very large) matrix A ∈ Rn x d is a small scaled subset of its n rows that approximates their sum of squared distances to every affine k-dimensional subspace of Rd, up to a factor of 1±e.

Abstract: An e-coreset to the dimensionality reduction problem for a (possibly very large) matrix A ∈ Rn x d is a small scaled subset of its n rows that approximates their sum of squared distances to every affine k-dimensional subspace of Rd, up to a factor of 1±e. Such a coreset is useful for boosting the running time of computing a low-rank approximation (k-SVD/k-PCA) while using small memory. Coresets are also useful for handling streaming, dynamic and distributed data in parallel. With high probability, non-uniform sampling based on the so called leverage score or sensitivity of each row in A yields a coreset. The size of the (sampled) coreset is then near-linear in the total sum of these sensitivity bounds. We provide algorithms that compute provably tight bounds for the sensitivity of each input row. It is based on two ingredients: (i) iterative algorithm that computes the exact sensitivity of each row up to arbitrary small precision for (non-affine) k-subspaces, and (ii) a general reduction for computing a coreset for affine subspaces, given a coreset for (non-affine) subspaces in Rd. Experimental results on real-world datasets, including the English Wikipedia documents-term matrix, show that our bounds provide significantly smaller and data-dependent coresets also in practice. Full open source code is also provided.