An Improved Bound for the Nystrom Method for Large Eigengap

08/30/2012

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by   Mehrdad Mahdavi, et al.

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We develop an improved bound for the approximation error of the Nyström method under the assumption that there is a large eigengap in the spectrum of kernel matrix. This is based on the empirical observation that the eigengap has a significant impact on the approximation error of the Nyström method. Our approach is based on the concentration inequality of integral operator and the theory of matrix perturbation. Our analysis shows that when there is a large eigengap, we can improve the approximation error of the Nyström method from O(N/m^1/4) to O(N/m^1/2) when measured in Frobenius norm, where N is the size of the kernel matrix, and m is the number of sampled columns.