Sharp Analysis of Sketch-and-Project Methods via a Connection to Randomized Singular Value Decomposition
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Sketch-and-project is a framework which unifies many known iterative methods for solving linear systems and their variants, as well as further extensions to non-linear optimization problems. It includes popular methods such as randomized Kaczmarz, coordinate descent, variants of the Newton method in convex optimization, and others. In this paper, we obtain sharp guarantees for the convergence rate of sketch-and-project methods via new tight spectral bounds for the expected sketched projection matrix. Our estimates reveal a connection between the sketch-and-project convergence rate and the approximation error of another well-known but seemingly unrelated family of algorithms, which use sketching to accelerate popular matrix factorizations such as QR and SVD. This connection brings us closer to precisely quantifying how the performance of sketch-and-project solvers depends on their sketch size. Our analysis covers not only Gaussian and sub-gaussian sketching matrices, but also a family of efficient sparse sketching methods known as LESS embeddings. Our experiments back up the theory and demonstrate that even extremely sparse sketches show the same convergence properties in practice.
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