Sublinear Time Numerical Linear Algebra for Structured Matrices

Abstract

We show how to solve a number of problems in numerical linear algebra, such as least squares regression, ${\ell }_p$-regression for any $p\ge 1$, low rank approximation, and kernel regression, in time $T(A) \poly(\log(nd))$, where for a given input matrix $A\in {\mathbb{R}}^{n\times d}$, $T(A)$ is the time needed to compute $A\cdot y$ for an arbitrary vector $y\in {\mathbb{R}}^d$. Since $T(A) \leq O(\nnz(A))$, where $\nnz(A)$ denotes the number of non-zero entries of $A$, the time is no worse, up to polylogarithmic factors, as all of the recent advances for such problems that run in input-sparsity time. However, for many applications, $T(A)$ can be much smaller than $\nnz(A)$, yielding significantly sublinear time algorithms. For example, in the overconstrained $(1+\epsilon )$-approximate polynomial interpolation problem, $A$ is a Vandermonde matrix and $T(A)=O(n\log n)$; in this case our running time is $n \cdot \poly(\log n) + \poly(d/ε)$ and we recover the results of \cite{avron2013sketching} as a special case. For overconstrained autoregression, which is a common problem arising in dynamical systems, $T(A)=O(n\log n)$, and we immediately obtain $n \cdot \poly(\log n) + \poly(d/ε)$ time. For kernel autoregression, we significantly improve the running time of prior algorithms for general kernels. For the important case of autoregression with the polynomial kernel and arbitrary target vector $b\in {\mathbb{R}}^n$, we obtain even faster algorithms. Our algorithms show that, perhaps surprisingly, most of these optimization problems do not require much more time than that of a polylogarithmic number of matrix-vector multiplications.