TY - JOUR

T1 - Faster least squares approximation

AU - Drineas, Petros

AU - Mahoney, Michael W.

AU - Muthukrishnan, S.

AU - Sarlós, Tamás

N1 - Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.

PY - 2011/2

Y1 - 2011/2

N2 - Least squares approximation is a technique to find an approximate solution to a system of linear equations that has no exact solution. In a typical setting, one lets n be the number of constraints and d be the number of variables, with n » d. Then, existing exact methods find a solution vector in O(nd2) time. We present two randomized algorithms that provide accurate relative-error approximations to the optimal value and the solution vector of a least squares approximation problem more rapidly than existing exact algorithms. Both of our algorithms preprocess the data with the Randomized Hadamard transform. One then uniformly randomly samples constraints and solves the smaller problem on those constraints, and the other performs a sparse random projection and solves the smaller problem on those projected coordinates. In both cases, solving the smaller problem provides relative-error approximations, and, if n is sufficiently larger than d, the approximate solution can be computed in O(nd ln d) time.

AB - Least squares approximation is a technique to find an approximate solution to a system of linear equations that has no exact solution. In a typical setting, one lets n be the number of constraints and d be the number of variables, with n » d. Then, existing exact methods find a solution vector in O(nd2) time. We present two randomized algorithms that provide accurate relative-error approximations to the optimal value and the solution vector of a least squares approximation problem more rapidly than existing exact algorithms. Both of our algorithms preprocess the data with the Randomized Hadamard transform. One then uniformly randomly samples constraints and solves the smaller problem on those constraints, and the other performs a sparse random projection and solves the smaller problem on those projected coordinates. In both cases, solving the smaller problem provides relative-error approximations, and, if n is sufficiently larger than d, the approximate solution can be computed in O(nd ln d) time.

UR - http://www.scopus.com/inward/record.url?scp=78651450265&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=78651450265&partnerID=8YFLogxK

U2 - 10.1007/s00211-010-0331-6

DO - 10.1007/s00211-010-0331-6

M3 - Article

AN - SCOPUS:78651450265

VL - 117

SP - 219

EP - 249

JO - Numerische Mathematik

JF - Numerische Mathematik

SN - 0029-599X

IS - 2

ER -