The Variational Nystrom method for large-scale spectral problems
Proceedings of The 33rd International Conference on Machine Learning, PMLR 48:211-220, 2016.
Spectral methods for dimensionality reduction and clustering require solving an eigenproblem defined by a sparse affinity matrix. When this matrix is large, one seeks an approximate solution. The standard way to do this is the Nystrom method, which first solves a small eigenproblem considering only a subset of landmark points, and then applies an out-of-sample formula to extrapolate the solution to the entire dataset. We show that by constraining the original problem to satisfy the Nystrom formula, we obtain an approximation that is computationally simple and efficient, but achieves a lower approximation error using fewer landmarks and less runtime. We also study the role of normalization in the computational cost and quality of the resulting solution.