Sparse sketches with small inversion bias

Michal Derezinski, Zhenyu Liao, Edgar Dobriban, Michael W. Mahoney

Abstract: For a tall $n\times d$ matrix $A$ and a random $m\times n$ sketching matrix $S$, the sketched estimate of the inverse covariance matrix $(A^\top A)^{-1}$ is typically biased: $E[(\tilde A^\top\tild...