Optimal Convergence Rates for Agnostic Nyström Kernel Learning

Jian Li, Yong Liu, Weiping Wang

Abstract: Nyström low-rank approximation has shown great potential in processing large-scale kernel matrix and neural networks. However, there lacks a unified analysis for Nyström approximation, and the asymptotical minimax optimality for Nyström methods usually require a strict condition, assuming that the target regression lies exactly in the hypothesis space. In this paper, to tackle these problems, we provide a refined generalization analysis for Nyström approximation in the agnostic setting, where the target regression may be out of the hypothesis space. Specifically, we show Nyström approximation can still achieve the capacity-dependent optimal rates in the agnostic setting. To this end, we first prove the capacity-dependent optimal guarantees of Nyström approximation with the standard uniform sampling, which covers both loss functions and applies to some agnostic settings. Then, using data-dependent sampling, for example, leverage scores sampling, we derive the capacity-dependent optimal rates that apply to the whole range of the agnostic setting. To our best knowledge, the capacity-dependent optimality for the whole range of the agnostic setting is first achieved and novel in Nyström approximation.

Submission Number: 5233