Sparse graph based sketching for fast numerical linear algebra

Abstract: In recent years, a variety of randomized constructions of sketching matrices have been devised, that have been used in fast algorithms for numerical linear algebra problems, such as least squares regression, low-rank approximation, and the approximation of leverage scores. A key property of sketching matrices is that of subspace embedding. In this paper, we study sketching matrices that are obtained from bipartite graphs that are sparse, i.e., have left degree~s that is small. In particular, we explore two popular classes of sparse graphs, namely, expander graphs and magical graphs. For a given subspace $\mathcal{U} \subseteq \mathbb{R}^n$ of dimension $k$, we show that the magical graph with left degree $s=2$ yields a $(1\pm \epsilon)$ ${\ell}_2$-subspace embedding for $\mathcal{U}$, if the number of right vertices (the sketch size) $m = \mathcal{O}({k^2}/{\epsilon^2})$. The expander graph with $s = \mathcal{O}({\log k}/{\epsilon})$ yields a subspace embedding for $m = \mathcal{O}({k \log k}/{\epsilon^2})$. We also discuss the construction of sparse sketching matrices with reduced randomness using expanders based on error-correcting codes. Empirical results on various synthetic and real datasets show that these sparse graph sketching matrices work very well in practice.