Fixed-Rank Approximation of a Positive-Semidefinite Matrix from Streaming Data [article]

Joel A. Tropp, Alp Yurtsever, Madeleine Udell, Volkan Cevher
2017 arXiv   pre-print
Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be possible to retain a sketch of the psd matrix. This paper develops a new algorithm for fixed-rank psd approximation from a sketch. The approach combines the Nystrom approximation with a novel mechanism for rank truncation. Theoretical analysis establishes that
more » ... the proposed method can achieve any prescribed relative error in the Schatten 1-norm and that it exploits the spectral decay of the input matrix. Computer experiments show that the proposed method dominates alternative techniques for fixed-rank psd matrix approximation across a wide range of examples.
arXiv:1706.05736v1 fatcat:oeye7rs7hzfexk3b3fkaldmgva