Fast regression with an _ guarantee

DOI10.4230/LIPICS.ICALP.2017.59MaRDI QIDQ5111390zbMATH OpenFDO

Authors Eric Price, Zhao Song, David P. Woodruff

Publication date 27 May 2020

Full work available at URL https://arxiv.org/abs/1705.10723

zbMATH Keywords

linear regressionerror estimaterandom matricesleverage scorescount-sketch algorithm

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99) Random matrices (algebraic aspects) (15B52) Numerical linear algebra (65F99)

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• A statistical perspective on randomized sketching for ordinary least-squares
• Sketched ridge regression: optimization perspective, statistical perspective, and model averaging
• Sharper bounds for regularized data fitting
• Multiplicative perturbation bounds for multivariate multiple linear regression in Schatten \(p\)-norms
• Asymptotics of the Sketched Pseudoinverse
• RidgeSketch: a fast sketching based solver for large scale ridge regression
• A fast regression via SVD and marginalization

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