Improving CUR matrix decomposition and the Nyström approximation via adaptive sampling

  • Authors:
  • Shusen Wang;Zhihua Zhang

  • Affiliations:
  • College of Computer Science and Technology, Zhejiang University, Hangzhou, Zhejiang, China;Department of Computer Science and Engineering, Shanghai Jiao Tong University, Shanghai, China

  • Venue:
  • The Journal of Machine Learning Research
  • Year:
  • 2013

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Abstract

The CUR matrix decomposition and the Nyström approximation are two important low-rank matrix approximation techniques. The Nyström method approximates a symmetric positive semidefinite matrix in terms of a small number of its columns, while CUR approximates an arbitrary data matrix by a small number of its columns and rows. Thus, CUR decomposition can be regarded as an extension of the Nyström approximation. In this paper we establish a more general error bound for the adaptive column/row sampling algorithm, based on which we propose more accurate CUR and Nyström algorithms with expected relative-error bounds. The proposed CUR and Nyström algorithms also have low time complexity and can avoid maintaining the whole data matrix in RAM. In addition, we give theoretical analysis for the lower error bounds of the standard Nyström method and the ensemble Nyström method. The main theoretical results established in this paper are novel, and our analysis makes no special assumption on the data matrices.