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arXiv · 2007.06099

Multiplicative Perturbation Bounds for Multivariate Multiple Linear Regression in Schatten $p$-Norms

Jocelyn T. Chi·Ilse C. F. Ipsen
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Abstract

Multivariate multiple linear regression (MMLR), which occurs in a number of practical applications, generalizes traditional least squares (multivariate linear regression) to multiple right-hand sides. We extend recent MLR analyses to sketched MMLR in general Schatten $p$-norms by interpreting the sketched problem as a multiplicative perturbation. Our work represents an extension of Maher's results on Schatten $p$-norms. We derive expressions for the exact and perturbed solutions in terms of projectors for easy geometric interpretation. We also present a geometric interpretation of the action of the sketching matrix in terms of relevant subspaces. We show that a key term in assessing the accuracy of the sketched MMLR solution can be viewed as a tangent of a largest principal angle between subspaces under some assumptions. Our results enable additional interpretation of the difference between an orthogonal and oblique projector with the same range.

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Jocelyn T. Chi, Ilse C. F. Ipsen. 2020-07-12. Multiplicative Perturbation Bounds for Multivariate Multiple Linear Regression in Schatten $p$-Norms. https://arxiv.org/abs/2007.06099

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