Paper

Recursive Sampling for the Nyström Method

We give the first algorithm for kernel Nystr\"om approximation that runs in *linear time in the number of training points* and is provably accurate for all kernel matrices, without dependence on regularity or incoherence conditions. The algorithm projects the kernel onto a set of $s$ landmark points sampled by their *ridge leverage scores*, requiring just $O(ns)$ kernel evaluations and $O(ns^2)$ additional runtime... (read more)

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