On Subspace Approximation and Subset Selection in Fewer Passes by MCMC Sampling

TL;DR

This paper introduces an MCMC-based method for subset selection in $\, ext{ell}_p$ subspace approximation that significantly reduces the number of data passes needed, achieving near-optimal subsets efficiently.

Contribution

The authors develop an MCMC algorithm that minimizes data passes for subset selection in $\, ext{ell}_p$ subspace approximation, improving over previous adaptive sampling methods.

Findings

For $p=2$, subset selection with nearly optimal size in 2 passes.

Algorithm achieves $(1+\epsilon)$ approximation with polynomial subset size.

Extends to datasets with outliers and reduces passes for $p\geq 2$.

Abstract

We consider the problem of subset selection for $\ell_{p}$ subspace approximation, i.e., given $n$ points in $d$ dimensions, we need to pick a small, representative subset of the given points such that its span gives $(1+\epsilon)$ approximation to the best $k$-dimensional subspace that minimizes the sum of $p$-th powers of distances of all the points to this subspace. Sampling-based subset selection techniques require adaptive sampling iterations with multiple passes over the data. Matrix sketching techniques give a single-pass $(1+\epsilon)$ approximation for $\ell_{p}$ subspace approximation but require additional passes for subset selection. In this work, we propose an MCMC algorithm to reduce the number of passes required by previous subset selection algorithms based on adaptive sampling. For $p=2$, our algorithm gives subset selection of nearly optimal size in only $2$ passes, whereas the number of passes required in previous work depend on $k$. Our algorithm picks a subset of size $\mathrm{poly}(k/\epsilon)$ that gives $(1+\epsilon)$ approximation to the optimal subspace. The running time of the algorithm is $nd + d~\mathrm{poly}(k/\epsilon)$. We extend our results to the case when outliers are present in the datasets, and suggest a two pass algorithm for the same. Our ideas also extend to give a reduction in the number of passes required by adaptive sampling algorithms for $\ell_{p}$ subspace approximation and subset selection, for $p \geq 2$.