Matrix Sketching Over Sliding Windows
Zhewei Wei, Xuancheng Liu, Li Fei-Fei, Shuo Shang, Xiaoyong Du, Ji-Rong Wen · 2016
Large-scale matrix computation becomes essential for many data data applications, and hence the problem of sketching matrix with small space and high precision has received extensive study for the past few years. This problem is often considered in the row-update streaming model, where the data set is a matrix A -- Rn x d, and the processor receives a row (1 x d) of A at each timestamp. The goal is to maintain a smaller matrix (termed approximation matrix, or simply approximation) B -- Rl x d as an approximation to A, such that the covariance error |AT A - BTB| is small and l ll n.