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1. Fast multiplication of random dense matrices with sparse matrices

   Liang, Tianyu; Murray, Riley; Buluc, Aydin; Demmel, James (May 2024, IEEE International Parallel & Distributed Processing Symposium 2024)

   This work focuses on accelerating the multiplication of a dense random matrix with a (fixed) sparse matrix, which is frequently used in sketching algorithms. We develop a novel scheme that takes advantage of blocking and recomputation (on- the-fly random number generation) to accelerate this operation. The techniques we propose decrease memory movement, thereby increasing the algorithm’s parallel scalability in shared memory architectures. On the Intel Frontera architecture, our algorithm can achieve 2x speedups over libraries such as Eigen and Intel MKL on some examples. In addition, with 32 threads, we can obtain a parallel efficiency of up to approximately 45%. We also present a theoretical analysis for the memory movement lower bound of our algorithm, showing that under mild assumptions, it's possible to beat the data movement lower bound of general matrix-matrix multiply (GEMM) by a factor of sqrt(M), where $$M$$ is the cache size. Finally, we incorporate our sketching method into a randomized algorithm for overdetermined least squares with sparse data matrices. Our results are competitive with SuiteSparse for highly overdetermined problems; in some cases, we obtain a speedup of 10x over SuiteSparse. 

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2. Optimal Shrinkage for Distributed Second-Order Optimization

   Zhang, Fangzhao; Pilanci, Mert (January 2023, International Conference on Machine Learning)

   In this work, we address the problem of Hessian inversion bias in distributed second-order optimization algorithms. We introduce a novel shrinkage-based estimator for the resolvent of gram matrices that is asymptotically unbiased, and characterize its non-asymptotic convergence rate in the isotropic case. We apply this estimator to bias correction of Newton steps in distributed second-order optimization algorithms, as well as randomized sketching based methods. We examine the bias present in the naive averaging-based distributed Newton’s method using analytical expressions and contrast it with our proposed biasfree approach. Our approach leads to significant improvements in convergence rate compared to standard baselines and recent proposals, as shown through experiments on both real and synthetic datasets. 

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3. Newton-LESS: Sparsification without Trade-offs for the Sketched Newton Up-date

   Derezinski, Michal; Lacotte, Jonathan; Pilanci, Mert; Mahoney, Michael W. (January 2021, Advances in neural information processing systems)

   In second-order optimization, a potential bottleneck can be computing the Hessian matrix of the optimized function at every iteration. Randomized sketching has emerged as a powerful technique for constructing estimates of the Hessian which can be used to perform approximate Newton steps. This involves multiplication by a random sketching matrix, which introduces a trade-off between the computational cost of sketching and the convergence rate of the optimization algorithm. A theoretically desirable but practically much too expensive choice is to use a dense Gaussian sketching matrix, which produces unbiased estimates of the exact Newton step and which offers strong problem-independent convergence guarantees. We show that the Gaussian sketching matrix can be drastically sparsified, significantly reducing the computational cost of sketching, without substantially affecting its convergence properties. This approach, called Newton LESS, is based on a recently introduced sketching technique: LEverage Score Sparsified (LESS) embeddings. We prove that Newton-LESS enjoys nearly the same problem-independent local convergence rate as Gaussian embeddings, not just up to constant factors but even down to lower order terms, for a large class of optimization tasks. In particular, this leads to a new state-of-the-art convergence result for an iterative least squares solver. Finally, we extend LESS embeddings to include uniformly sparsified random sign matrices which can be implemented efficiently and which perform well in numerical experiments. 

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4. Optimal Randomized First-Order Methods for Least-Squares Problems

   Lacotte, Jonathan; Pilanci, Mert (January 2020, International conference on machine learning)

   null (Ed.)

   We provide an exact analysis of a class of randomized algorithms for solving overdetermined least-squares problems. We consider first-order methods, where the gradients are pre-conditioned by an approximation of the Hessian, based on a subspace embedding of the data matrix. This class of algorithms encompasses several randomized methods among the fastest solvers for leastsquares problems. We focus on two classical embeddings, namely, Gaussian projections and subsampled randomized Hadamard transforms (SRHT). Our key technical innovation is the derivation of the limiting spectral density of SRHT embeddings. Leveraging this novel result, we derive the family of normalized orthogonal polynomials of the SRHT density and we find the optimal pre-conditioned first-order method along with its rate of convergence. Our analysis of Gaussian embeddings proceeds similarly, and leverages classical random matrix theory results. In particular, we show that for a given sketch size, SRHT embeddings exhibits a faster rate of convergence than Gaussian embeddings. Then, we propose a new algorithm by optimizing the computational complexity over the choice of the sketching dimension. To our knowledge, our resulting algorithm yields the best known complexity for solving least-squares problems with no condition number dependence. 

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5. Randomized Algorithms for Symmetric Nonnegative Matrix Factorization

   https://doi.org/10.1137/24M1638355  

   Hayashi, Koby; Aksoy, Sinan G; Ballard, Grey; Park, Haesun (March 2025, SIAM Journal on Matrix Analysis and Applications)

   Symmetric Nonnegative Matrix Factorization (SymNMF) is a technique in data analysis and machine learning that approximates a symmetric matrix with a product of a nonnegative, low-rank matrix and its transpose. To design faster and more scalable algorithms for SymNMF, we develop two randomized algorithms for its computation. The first algorithm uses randomized matrix sketching to compute an initial low-rank approximation to the input matrix and proceeds to rapidly compute a SymNMF of the approximation. The second algorithm uses randomized leverage score sampling to approximately solve constrained least squares problems. Many successful methods for SymNMF rely on (approximately) solving sequences of constrained least squares problems. We prove theoretically that leverage score sampling can approximately solve nonnegative least squares problems to a chosen accuracy with high probability. Additionally, we prove sampling complexity results for previously proposed hybrid sampling techniques which deterministically include high leverage score rows. This hybrid scheme is crucial for obtaining speedups in practice. Finally, we demonstrate that both methods work well in practice by applying them to graph clustering tasks on large real world data sets. These experiments show that our methods approximately maintain solution quality and achieve significant speedups for both large dense and large sparse problems. 

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