Co-Occurring Directions Sketching for Approximate Matrix Multiply


Youssef Mroueh, Etienne Marcheret, Vaibahava Goel ;
Proceedings of the 20th International Conference on Artificial Intelligence and Statistics, PMLR 54:567-575, 2017.


We introduce co-occurring directions sketching, a deterministic algorithm for approximate matrix product (AMM), in the streaming model. We show that co-occurring directions achieves a better error bound for AMM than other randomized and deterministic approaches for AMM. Co-occurring directions gives a (1 + epsilon) - approximation of the optimal low rank approximation of a matrix product. Empirically our algorithm outperforms competing methods for AMM, for a small sketch size. We validate empirically our theoretical findings and algorithms.

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