An Adaptive Factorized Nyström Preconditioner for Regularized Kernel Matrices
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The spectrum of a kernel matrix significantly depends on the parameter values of the kernel function used to define the kernel matrix. This makes it challenging to design a preconditioner for a regularized kernel matrix that is robust across different parameter values. This paper proposes the Adaptive Factorized Nyström (AFN) preconditioner. The preconditioner is designed for the case where the rank k of the Nyström approximation is large, i.e., for kernel function parameters that lead to kernel matrices with eigenvalues that decay slowly. AFN deliberately chooses a well-conditioned submatrix to solve with and corrects a Nyström approximation with a factorized sparse approximate matrix inverse. This makes AFN efficient for kernel matrices with large numerical ranks. AFN also adaptively chooses the size of this submatrix to balance accuracy and cost.
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