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We study optimal design problems in which the goal is to choose a set of linear measurements to obtain the most accurate estimate of an unknown vector. We study the [Formula: see text]-optimal design variant where the objective is to minimize the average variance of the error in the maximum likelihood estimate of the vector being measured. We introduce the proportional volume sampling algorithm to obtain nearly optimal bounds in the asymptotic regime when the number [Formula: see text] of measurements made is significantly larger than the dimension [Formula: see text] and obtain the first approximation algorithms whose approximation factor does not degrade with the number of possible measurements when [Formula: see text] is small. The algorithm also gives approximation guarantees for other optimal design objectives such as [Formula: see text]-optimality and the generalized ratio objective, matching or improving the previously best-known results. We further show that bounds similar to ours cannot be obtained for [Formula: see text]-optimal design and that [Formula: see text]-optimal design is NP-hard to approximate within a fixed constant when [Formula: see text].
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Proportional Volume Sampling and Approximation Algorithms for A-Optimal Design
We study the A-optimal design problem where we are given vectors υ1, …, υn ∊ ℝd, an integer k ≥ d, and the goal is to select a set S of k vectors that minimizes the trace of (∑i∊Svivi⊺)−1. Traditionally, the problem is an instance of optimal design of experiments in statistics [35] where each vector corresponds to a linear measurement of an unknown vector and the goal is to pick k of them that minimize the average variance of the error in the maximum likelihood estimate of the vector being measured. The problem also finds applications in sensor placement in wireless networks [22], sparse least squares regression [8], feature selection for k-means clustering [9], and matrix approximation [13, 14, 5]. In this paper, we introduce proportional volume sampling to obtain improved approximation algorithms for A-optimal design. Given a matrix, proportional volume sampling involves picking a set of columns S of size k with probability proportional to µ(S) times det(∑i∊Svivi⊺) for some measure µ. Our main result is to show the approximability of the A-optimal design problem can be reduced to approximate independence properties of the measure µ. We appeal to hardcore distributions as candidate distributions µ that allow us to obtain improved approximation algorithms for the A-optimal design. Our results include a d-approximation when k = d, an (1 + ∊)-approximation when and -approximation when repetitions of vectors are allowed in the solution. We also consider generalization of the problem for k ≤ d and obtain a k-approximation. We also show that the proportional volume sampling algorithm gives approximation algorithms for other optimal design objectives (such as D-optimal design [36] and generalized ratio objective [27]) matching or improving previous best known results. Interestingly, we show that a similar guarantee cannot be obtained for the E-optimal design problem. We also show that the A-optimal design problem is NP-hard to approximate within a fixed constant when k = d.
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- Award ID(s):
- 1717947
- PAR ID:
- 10106914
- Date Published:
- Journal Name:
- Symposium on Discrete Algorithms (SODA)
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/doi:10.1137/1.9781611975482.84
