Fast Subspace Approximation via Greedy Least-Squares

Mark Iwen, Felix Krahmer

In this note, we develop fast and deterministic dimensionality reduction techniques for a family of subspace approximation problems. Let $P\subset \mathbbm{R}^N$ be a given set of $M$ points. The techniques developed herein find an $O(n \log M)$-dimensional subspace that is guaranteed to always contain a near-best fit $n$-dimensional hyperplane $\mathcal{H}$ for $P$ with respect to the cumulative projection error $(\sum_{{\bf x} \in P} \| {\bf x} - \Pi_\mathcal{H} {\bf x} \|^p_2)^{1/p}$, for any chosen $p > 2$. The deterministic algorithm runs in $\tilde{O} (MN^2)$-time, and can be randomized to run in only $\tilde{O} (MNn)$-time while maintaining its error guarantees with high probability. In the case $p = \infty$ the dimensionality reduction techniques can be combined with efficient algorithms for computing the John ellipsoid of a data set in order to produce an $n$-dimensional subspace whose maximum $\ell_2$-distance to any point in the convex hull of $P$ is minimized. The resulting algorithm remains $\tilde{O} (MNn)$-time. In addition, the dimensionality reduction techniques developed herein can also be combined with other existing subspace approximation algorithms for $2 < p \leq \infty$ - including more accurate algorithms based on convex programming relaxations - in order to reduce their runtimes.

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