Sampling from large matrices: an approach through geometric functional analysis

Details Sampling from large matrices: an approach through geometric functional analysis Sampling from large matrices: an approach through geometric functional analysis

2005-03-22

arxiv.org/abs/math/0503442v3

Mathematics

Functional Analysis

Our initial claim about Max-2-CSP problems is corrected. We put an exponential failure probability for the algorithm for low-r

Scientific paper

We study random submatrices of a large matrix A. We show how to approximately compute A from its random submatrix of the smallest possible size O(r log r) with a small error in the spectral norm, where r = ||A||_F^2 / ||A||_2^2 is the numerical rank of A. The numerical rank is always bounded by, and is a stable relaxation of, the rank of A. This yields an asymptotically optimal guarantee in an algorithm for computing low-rank approximations of A. We also prove asymptotically optimal estimates on the spectral norm and the cut-norm of random submatrices of A. The result for the cut-norm yields a slight improvement on the best known sample complexity for an approximation algorithm for MAX-2CSP problems. We use methods of Probability in Banach spaces, in particular the law of large numbers for operator-valued random variables.

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