Near Optimal Frequent Directions for Sketching Dense and Sparse Matrices

ICML 2018 Zengfeng Huang

Given a large matrix $A\in\real^{n\times d}$, we consider the problem of computing a sketch matrix $B\in\real^{\ell\times d}$ which is significantly smaller than but still well approximates $A$. We are interested in minimizing the covariance error $\norm{A^TA-B^TB}_2.$We consider the problems in the streaming model, where the algorithm can only make one pass over the input with limited working space... (read more)

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