Robust and Sample Optimal Algorithms for PSD Low Rank Approximation

Recently, Musco and Woodruff (FOCS, 2017) showed that given an n×n positive semidefinite (PSD) matrix A, it is possible to compute a (1+ε-approximate relative-error low-rank approximation to A by querying Õ(nk/ε
^2.5
) entries of A in time Õ(nk/ε
^2.5
+nk
^ω-1
/ε
^2(ω-1)
). They also showed that any relative-error low-rank approximation algorithm must query Ω(nk/ε) entries of A, this gap has since remained open. Our main result is to resolve this question by obtaining an optimal algorithm that queries Õ(nk/ε) entries of A and outputs a relative-error low-rank approximation in Õ(n·(k/ε)
^ω-1
) time. Note, our running time improves that of Musco and Woodruff, and matches the information-theoretic lower bound if the matrix-multiplication exponent ω is 2. We then extend our techniques to negative-type distance matrices. Here, our input is a pair-wise distance matrix A corresponding to a point set P={x
₁
, x
₂
, ..., x
_n
} such that A
_i,
j
=||x
_i
-x
_j
||2
²
. Bakshi and Woodruff (NeurIPS, 2018) showed a bi-criteria, relative-error low-rank approximation for negative-type metrics. Their algorithm queries Õ(nk/ε
^2.5
) entries and outputs a rank-( k+4) matrix. We show that the bi-criteria guarantee is not necessary and obtain an Õ(nk/ε) query algorithm, which is optimal. Our algorithm applies to all distance matrices that arise from metrics satisfying negative-type inequalities, including l
₁
,l
₂
, spherical metrics, hypermetrics and effective resistances on a graph. We also obtain faster algorithms for ridge regression. Next, we introduce a new robust low-rank approximation model which captures PSD matrices that have been corrupted with noise. We assume that the Frobenius norm of the corruption is bounded. Here, we relax the notion of approximation to additive-error, since it is information-theoretically impossible to obtain a relative-error approximation in this setting. While a sample complexity lower bound precludes sublinear algorithms for arbitrary PSD matrices, we provide the first sublinear time and query algorithms when the corruption on the diagonal entries is bounded. As a special case, we show sample-optimal sublinear time algorithms for low-rank approximation of correlation matrices corrupted by noise.