Fast Algorithms for $\ell_p$-Regression (2211.03963v2)

Abstract: The $\ell_p$-norm regression problem is a classic problem in optimization with wide ranging applications in machine learning and theoretical computer science. The goal is to compute $x^{\star} =\arg\min_{Ax=b}|x|_p^p$, where $x^{\star}\in \mathbb{R}^n, A\in \mathbb{R}^{d\times n},b \in \mathbb{R}^d$ and $d\leq n$. Efficient high-accuracy algorithms for the problem have been challenging both in theory and practice and the state of the art algorithms require $poly(p)\cdot n^{\frac{1}{2}-\frac{1}{p}}$ linear system solves for $p\geq 2$. In this paper, we provide new algorithms for $\ell_p$-regression (and a more general formulation of the problem) that obtain a high-accuracy solution in $O(p n^{\frac{(p-2)}{(3p-2)}})$ linear system solves. We further propose a new inverse maintenance procedure that speeds-up our algorithm to $\widetilde{O}(n^{\omega})$ total runtime, where $O(n^{\omega})$ denotes the running time for multiplying $n \times n$ matrices. Additionally, we give the first Iteratively Reweighted Least Squares (IRLS) algorithm that is guaranteed to converge to an optimum in a few iterations. Our IRLS algorithm has shown exceptional practical performance, beating the currently available implementations in MATLAB/CVX by 10-50x.