A Note on Element-wise Matrix Sparsification via a Matrix-valued Bernstein Inequality

Details A Note on Element-wise Matrix Sparsification via a Matrix-valued Bernstein Inequality A Note on Element-wise Matrix Sparsification via a Matrix-valued Bernstein Inequality

2010-06-02

arxiv.org/abs/1006.0407v2

Computer Science

Data Structures and Algorithms

8 pages

Scientific paper

Given an n x n matrix A, we present a simple, element-wise sparsification algorithm that zeroes out all sufficiently small elements of A and then retains some of the remaining elements with probabilities proportional to the square of their magnitudes. We analyze the approximation accuracy of the proposed algorithm using a recent, elegant non-commutative Bernstein inequality, and compare our bounds with all existing (to the best of our knowledge) element-wise matrix sparsification algorithms.

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