Fast Monte-Carlo Low Rank Approximations for Matrices. Shmuel Friedland University of Illinois at Chicago
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1 Fast Monte-Carlo Low Rank Approximations for Matrices Shmuel Friedland University of Illinois at Chicago joint work with M. Kaveh, A. Niknejad and H. Zare IEEE SoSE 2006, LA, April 25, friedlan 1
2 1 Statement of the problem Data is presented in terms of a matrix A = a 11 a a 1n a 21 a a 2n.... a m1 a m2... a mn Examples 1. digital picture: matrix of pixels 2. DNA-microarrays: 60, (rows are genes and columns are experiments) 3. web pages activities: a ij -the number of times webpage j was accessed from web page i Object: condense data and storage it effectively 2
3 2 Matrix SVD Let A C m n. Then A : C n C m. Assume C n, C m equipped with standard inner product x, y := y x. Then A = UΣV, where U U(m), V U(n), Σ = diag(σ 1,..., σ min(m,n) ) R m n +. U, V transition matrices from [u 1,..., u m ], [v 1,..., v n ] to the standard bases in C m, C n respectively. For k r let Σ k = diag(σ 1,..., σ k ) R k k, and U k U(m, k), V k U(n, k) having the first k columns of U, V respectively. Then A k := U k Σ k V k the best rank k approximation in Frobenius and operator norm of A: min B R(m,n,k) A B = A A k. A = U r Σ r V r is Reduced SVD (r ) ν numerical rank of A if σ ν+1 σ ν 0. A ν is a noise reduction of A. Noise reduction has many applications in image processing, DNA-Microarrays analysis, data compression. 3
4 3 SVD in inner product spaces U i is m i -dimensional IPS over C, with, i, i = 1, 2. T : U 1 U 2 linear operator. T : U 2 U 1 the adjoint operator: T x, y 2 = x, T y 1. S 1 := T T : U 1 U 1, S 2 := T T : U 2 U 2. S 1, S 2 self-adjoint: S 1 = S 1, S 2 = S 2 and nonnegative definite: S i x i, x i i 0. σ σ2 r > 0 positive eigenvalues of S 1 and S 2 and r = rank T = rank T. Let S 1 v i = σi 2v i, v i, v j 1 = δ ij, i, j =, 1,..., r. Define u i := σ 1 i T v i, i = 1,..., r. Then u i, u j 2 = δ ij, i, j = 1,..., r. Complete {v 1,..., v r } and {u 1,..., u r } to orthonormal bases [v 1,..., v m1 ] and [u 1,..., u m2 ] in U 1 and U 2. 4
5 4 RANDOM k-svd Stable numerical algortihms of SVD introduced by Golub-Kahan 1965, Golub-Reinsch 1970: Implicit QR Algo to reduce to upper bidiagonal form using Householder matrices, then Golub-Reinsch SVD algo to zero superdiagonal elements. Complexity: O(mn min(m, n)). In applications for massive data: A R m n, m, n >> 1 needed a good approximation A k = k i=1 x iy T i, x i R m, y i R n, i = 1,..., k << min(m, n). Random A k approximation algo: Find a good algo by reading l rows or columns of A at random and update the approximations. Frieze-Kannan-Vempala FOCS 1998 suggest algo without updating. 5
6 5 FKNZ RANDOM ALGO [4] Fast k-rank approximation and SVD algorithm Input: positive integers m, n, k, l, N, m n matrix A, ɛ > 0. Output: an m n k-rank approximation B f of A, with the ratios B 0 B t and B t 1 B t, approximations to k-singular values and k left and right singular vectors of A. 1. Choose k-rank approximation B 0 using k columns, (or rows), of A. 2. for t = 1 to N - Select l columns, (or rows), from A at random and update B t 1 to B t. - Compute the approximations to k-singular values, and k left and right singular vectors of A. - If B t 1 B t Complexity: O(mnk). > 1 ɛ let f = t and finish. Each iteration A B t 1 F A B t F. 6
7 6 DETAILS Choose at random k columns of A. Apply modified Gram-Schmidt algo to obtain x 1,..., x q R m, q k. Set B 0 := q i=1 x i(a T x i ) T. A B 0 2 F = tr AT A tr B T 0 B 0 = tr A T A q i=1 (AT x i ) T (A T x i ). Choose at random another l columns of A: w 1,..., w l. Apply modified Gram-Schmidt algo to x 1,..., x q, w 1,..., w l to obtain o.n.s. x 1,..., x q, x q+1,..., x p. Form C 0 := B 0 + p i=q+1 x i(a T x i ) T. Find the first left k-o.n. left singular vectors v 1,..., v k of C 0. Then B 1 := k i=1 v i(a T v i ) T and tr B T 0 B 0 tr B T 1 B 1. Obtain B t from B t 1 as above. 7
8 7 Lifting body original Figure 1: Lifting body image
9 8 Lifting body compressed Figure 2: 80-rank approximation of Lifting body image
10 9 SIMULATIONS x 10 4 Weighted sampling Uniform sampling with replacement Uniform sampling without replacement Relative error Number of iteration Figure 3: Convergence property of the Monte-Carlo method for Liftingbody image( ), k =
11 10 SIMULATIONS x Uniform sampling without replacement Uniform sampling with replacement Weighted sampling Relative error Total number of sampled rows Figure 4: Liftingbody: relative errors versus total number of sampled rows, k =
12 11 Camera man original Figure 5: Camera man image
13 12 Camera man compressed Figure 6: 80-rank approximation of Camera man
14 13 SIMULATIONS x 10 3 Uniform sampling without replacement Weighted sampling Uniform sampling with replacement Relative error Number of iteration Figure 7: Convergence property of the Monte-Carlo method for Cameraman image( ), k =
15 14 SIMULATIONS x 10 3 Uniform sampling without replacement Weighted sampling Uniform sampling with replacement Relative error Total number of sampled rows Figure 8: Cameraman: Relative error versus total number of sampled rows, k =
16 15 SIMULATIONS x Uniform sampling without replacement Uniform sampling with replacement Relative error Number of iteration Figure 9: Convergence property of the Monte-Carlo method for random data matrix( ) k = l =
17 16 COMPARISONS Table 1: Comparison of relative error and speed up of our algorithm with optimum k-rank approximation algorithm Data sets Speed up Re. ratio Cameraman( ), k = Liftingbody ( ), k = Map image( ) k = Random matrix( ) k =
18 17 Choosing columns of A Frieze, Kannan and Vempala [8] suggest to choose column c i (A) with probability c i(a) 2 A 2. F If s k are chosen then the k-approximation satisfies A k A A k 2 F m i=k+1 σ i(a) k s A 2 F. If s k 10ɛ then A A k 2 F m i=k+1 σ i(a) 2 + ɛ A 2 F. Deshpande, Rademacher, Vempala and Wang [2] improved the sampling by modifying the sampling c i (A) according to new probabilities c i(a A k ) 2 A A k 2 F Perhaps our algorithm can be combined with above sampling of columns to get better results.. 18
19 References [1] O. Alter, P.O. Brown and D. Botstein, Singular value decomposition for genome-wide expression data processing and modelling, Proc. Nat. Acad. Sci. USA 97 (2000), [2] A. Deshpande, L. Rademacher, S. Vemapala and G. Wang, Matrix Approximation and Projective Clustering via Volume Sampling, SODA, [3] S. Friedland, A New Approach to Generalized Singular Value Decomposition, SIMAX 27 (2005), [4] S. Friedland, M. Kaveh, A. Niknejad and H. Zare, Fast Monte-Carlo Low Rank Approximations for Matrices, Proc. IEEE SoSE, 2006, 6 pp., to appear. [5] S. Friedland, M. Kaveh, A. Niknejad and H. Zare, An Algorithm for Missing Value Estimation for DNA Microarray Data, Proceedings of ICASSP 2006, Toulouse, France, 4 pp., to appear. [6] S. Friedland, A. Niknejad and L. Chihara, A simultaneous reconstruction of missing data in DNA 19
20 microarrays, to appear in Linear Algebra and Its Applications. [7] S. Friedland, J. Nocedal and M. Overton, The formulation and analysis of numerical methods for inverse eigenvalue problems, SIAM J. Numer. Anal. 24 (1987), [8] A. Frieze, R. Kannan and S. Vempala, Fast Monte-Carlo algorithms for finding low rank approximations, Proceedings of the 39th Annual Symposium on Foundation of Computer Science, [9] G.H. Golub and C.F. Van Loan, Matrix Computation, John Hopkins Univ. Press, 3rd Ed.,
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