Leverage score sampling provides an appealing way to perform approximate computations for large matrices. Indeed, it allows to derive faithful approximations with a complexity adapted to the problem at hand. Yet, performing leverage scores sampling is a challenge in its own right requiring further approximations. In this paper, we study the problem of leverage score sampling for positive definite matrices defined by a kernel. Our contribution is twofold. First we provide a novel algorithm for leverage score sampling and second, we exploit the proposed method in statistical learning by deriving a novel solver for kernel ridge regression. Our main technical contribution is showing that the proposed algorithms are currently the most efficient and accurate for these problems.
|Titolo:||On Fast Leverage Score Sampling and Optimal Learning|
|Data di pubblicazione:||2018|
|Appare nelle tipologie:||04.01 - Contributo in atti di convegno|
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