Input-Sparsity Low Rank Approximation in Schatten Norm (2004.12646v3)

Abstract: We give the first input-sparsity time algorithms for the rank-$k$ low rank approximation problem in every Schatten norm. Specifically, for a given $n\times n$ matrix $A$, our algorithm computes $Y,Z\in \mathbb{R}^{n\times k}$, which, with high probability, satisfy $|A-YZ^T|_p \leq (1+\epsilon)|A-A_k|p$, where $|M|_p = \left (\sum{i=1}^n \sigma_i(M)^p \right )^{1/p}$ is the Schatten $p$-norm of a matrix $M$ with singular values $\sigma_1(M), \ldots, \sigma_n(M)$, and where $A_k$ is the best rank-$k$ approximation to $A$. Our algorithm runs in time $\tilde{O}(\operatorname{nnz}(A) + mn^{\alpha_p}\operatorname{poly}(k/\epsilon))$, where $\alpha_p = 0$ for $p\in [1,2)$ and $\alpha_p = (\omega-1)(1-2/p)$ for $p>2$ and $\omega \approx 2.374$ is the exponent of matrix multiplication. For the important case of $p = 1$, which corresponds to the more "robust" nuclear norm, we obtain $\tilde{O}(\operatorname{nnz}(A) + m \cdot \operatorname{poly}(k/\epsilon))$ time, which was previously only known for the Frobenius norm ($p = 2$). Moreover, since $\alpha_p < \omega - 1$ for every $p$, our algorithm has a better dependence on $n$ than that in the singular value decomposition for every $p$. Crucial to our analysis is the use of dimensionality reduction for Ky-Fan $p$-norms.