Near-Optimal Entrywise Sampling for Data Matrices

We consider the problem of selecting non-zero entries of a matrix A in order to produce a sparse sketch of it, B, that minimizes A B 2. For large m n matrices, such that n m (for example, representing n observations over m attributes) we give sampling distributions that exhibit four important properties. First, they have closed forms computable from minimal information regarding A. Second, they allow sketching of matrices whose non-zeros are presented to the algorithm in arbitrary order as a stream, with O 1 computation per non-zero. Third, the resulting sketch matrices are not only sparse, but their non-zero entries are highly compressible. Lastly, and most importantly, under mild assumptions, our distributions are provably competitive with the optimal offline distribution. Note that the probabilities in the optimal offline distribution may be complex functions of all the entries in the matrix. Therefore, regardless of computational complexity, the optimal distribution might be impossible to compute in the streaming model.