Linearized GMM Kernels and Normalized Random Fourier Features
Ping Li · 2017
The method of "random Fourier features (RFF)" has become a popular tool for approximating the "radial basis function (RBF)" kernel. The variance of RFF is actually large. Interestingly, the variance can be substantially reduced by a simple normalization step as we theoretically demonstrate. We name the improved scheme as the "normalized RFF (NRFF)", and we provide a technical proof of the asymptotic variance of NRFF, as validated by simulations.