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arXiv · 1203.4809

The Effect of Coherence on Sampling from Matrices with Orthonormal Columns, and Preconditioned Least Squares Problems

Ilse C. F. Ipsen·Thomas Wentworth
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Abstract

Motivated by the least squares solver Blendenpik, we investigate three strategies for uniform sampling of rows from m x n matrices Q with orthonormal columns. The goal is to determine, with high probability, how many rows are required so that the sampled matrices have full rank and are well-conditioned with respect to inversion. Extensive numerical experiments illustrate that the three sampling strategies (without replacement, with replacement, and Bernoulli sampling) behave almost identically, for small to moderate amounts of sampling. In particular, sampled matrices of full rank tend to have two-norm condition numbers of at most 10. We derive a bound on the condition number of the sampled matrices in terms of the coherence μ of Q. This bound applies to all three different sampling strategies; it implies a, not necessarily tight, lower bound of O(m μ ln(n)) for the number of sampled rows; and it is realistic and informative even for matrices of small dimension and the stringent requirement of a 99 percent success probability. For uniform sampling with replacement we derive a potentially tighter condition number bound in terms of the leverage scores of Q. To obtain a more easily computable version of this bound, in terms of just the largest leverage scores, we first derive a general bound on the two-norm of diagonally scaled matrices. To facilitate the numerical experiments and test the tightness of the bounds, we present algorithms to generate matrices with user-specified coherence and leverage scores. These algorithms, the three sampling strategies, and a large variety of condition number bounds are implemented in the Matlab toolbox kappa_SQ_v3.

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Ilse C. F. Ipsen, Thomas Wentworth. 2014-03-05. The Effect of Coherence on Sampling from Matrices with Orthonormal Columns, and Preconditioned Least Squares Problems. https://arxiv.org/abs/1203.4809

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