Improved bounds for randomized Schatten norm estimation of numerically low-rank matrices

In this work, we analyze the variance of a stochastic estimator for computing Schatten norms of matrices. The estimator extracts information from a single sketch of the matrix, that is, the product of the matrix with a few standard Gaussian random vectors. While this estimator has been proposed and...

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Bibliographic Details
Main Authors Chu, Ya-Chi, Cortinovis, Alice
Format Journal Article
LanguageEnglish
Published 30.08.2024
Subjects
Computer Science - Numerical Analysis
Mathematics - Numerical Analysis
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Summary:In this work, we analyze the variance of a stochastic estimator for computing Schatten norms of matrices. The estimator extracts information from a single sketch of the matrix, that is, the product of the matrix with a few standard Gaussian random vectors. While this estimator has been proposed and used in the literature before, the existing variance bounds are often pessimistic. Our work provides a sharper upper bound on the variance and we also give estimates of the variance that work well for numerically low-rank matrices. Our theoretical findings are supported by numerical experiments, demonstrating that the new bounds are significantly tighter than the existing ones.
DOI:10.48550/arxiv.2408.17414