Faster Eigenvector Computation via Shift-and-Invert Preconditioning

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Dan Garber, Elad Hazan, Chi Jin, Sham, Cameron Musco, Praneeth Netrapalli, Aaron Sidford ;
Proceedings of The 33rd International Conference on Machine Learning, PMLR 48:2626-2634, 2016.

Abstract

We give faster algorithms and improved sample complexities for the fundamental problem of estimating the top eigenvector. Given an explicit matrix $A \in \mathbb{R}^{n \times d}$, we show how to compute an $\epsilon$-approximate top eigenvector of $A^TA$ in time $\tilde O\left( \left[\text{nnz}(A) + \frac{d \text{sr}(A)}{\text{gap}^2} \right] \cdot \log 1/\epsilon\right)$. Here $\text{nnz}(A)$ is the number of nonzeros in $A$, $\text{sr}(A)$ is the stable rank, and gap is the relative eigengap. We also consider an online setting in which, given a stream of i.i.d. samples from a distribution D with covariance matrix $\Sigma$ and a vector $x_0$ which is an $O(\text{gap})$ approximate top eigenvector for $\Sigma$, we show how to refine $x_0$ to an $\epsilon$ approximation using $O \left( \frac{\text{var}(\mathcal{D})}{\text{gap}-\epsilon}\right)$ samples from $\mathcal{D}$. Here $\text{var}(\mathcal{D})$ is a natural notion of variance. Combining our algorithm with previous work to initialize $x_0$, we obtain improved sample complexities and runtimes under a variety of assumptions on D. We achieve our results via a robust analysis of the classic shift-and-invert preconditioning method. This technique lets us reduce eigenvector computation to approximately solving a series of linear systems with fast stochastic gradient methods.

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