A Statistical Perspective on Algorithmic Leveraging


Ping Ma, Michael Mahoney, Bin Yu ;
Proceedings of the 31st International Conference on Machine Learning, PMLR 32(1):91-99, 2014.


One popular method for dealing with large-scale data sets is sampling. Using the empirical statistical leverage scores as an importance sampling distribution, the method of algorithmic leveraging samples and rescales rows/columns of data matrices to reduce the data size before performing computations on the subproblem. Existing work has focused on algorithmic issues, but none of it addresses statistical aspects of this method. Here, we provide an effective framework to evaluate the statistical properties of algorithmic leveraging in the context of estimating parameters in a linear regression model. In particular, for several versions of leverage-based sampling, we derive results for the bias and variance, both conditional and unconditional on the observed data. We show that from the statistical perspective of bias and variance, neither leverage-based sampling nor uniform sampling dominates the other. This result is particularly striking, given the well-known result that, from the algorithmic perspective of worst-case analysis, leverage-based sampling provides uniformly superior worst-case algorithmic results, when compared with uniform sampling. Based on these theoretical results, we propose and analyze two new leveraging algorithms: one constructs a smaller least-squares problem with “shrinked” leverage scores (SLEV), and the other solves a smaller and unweighted (or biased) least-squares problem (LEVUNW). The empirical results indicate that our theory is a good predictor of practical performance of existing and new leverage-based algorithms and that the new algorithms achieve improved performance.

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