John Ellipsoids via Lazy Updates

David Woodruff, Taisuke Yasuda

Keywords: John ellipsoid, sketching, sampling, fast matrix multiplication

TL;DR: Efficient algorithms for John ellipsoids by lazily updating the weights

Abstract: We give a faster algorithm for computing an approximate John ellipsoid around $n$ points in $d$ dimensions. The best known prior algorithms are based on repeatedly computing the leverage scores of the points and reweighting them by these scores (Cohen et al., 2019). We show that this algorithm can be substantially sped up by delaying the computation of high accuracy leverage scores by using sampling, and then later computing multiple batches of high accuracy leverage scores via fast rectangular matrix multiplication. We also give low-space streaming algorithms for John ellipsoids using similar ideas.

Primary Area: Optimization (convex and non-convex, discrete, stochastic, robust)

Submission Number: 20453