Even Simpler Deterministic Matrix Sketching

TL;DR

This paper introduces a simplified proof for the Frequent Directions matrix sketching method, focusing on sketching the covariance matrix instead of the data stream, making the proof more straightforward.

Contribution

It offers a one-line proof of Frequent Directions by shifting the focus to the covariance matrix, simplifying the understanding of the method.

Findings

Simplified proof of Frequent Directions

Focus on covariance matrix sketching

Enhanced theoretical understanding

Abstract

This paper provides a one-line proof of Frequent Directions (FD) for sketching streams of matrices. The simpler proof arises from sketching the covariance of the stream of matrices rather than the stream itself.