$\ell_p$ Row Sampling by Lewis Weights

Abstract: We give a simple algorithm to efficiently sample the rows of a matrix while preserving the p-norms of its product with vectors. Given an $n$-by-$d$ matrix $\boldsymbol{\mathit{A}}$, we find with high probability and in input sparsity time an $\boldsymbol{\mathit{A}}'$ consisting of about $d \log{d}$ rescaled rows of $\boldsymbol{\mathit{A}}$ such that $| \boldsymbol{\mathit{A}} \boldsymbol{\mathit{x}} |_1$ is close to $| \boldsymbol{\mathit{A}}' \boldsymbol{\mathit{x}} |_1$ for all vectors $\boldsymbol{\mathit{x}}$. We also show similar results for all $\ell_p$ that give nearly optimal sample bounds in input sparsity time. Our results are based on sampling by "Lewis weights", which can be viewed as statistical leverage scores of a reweighted matrix. We also give an elementary proof of the guarantees of this sampling process for $\ell_1$.