Iterative kernel regression with preconditioning

Author:

Shi Lei1ORCID,Zhang Zihan23

Affiliation:

1. School of Mathematical Sciences, Shanghai Key Laboratory for Contemporary Applied Mathematics, Fudan University, Shanghai, P. R. China

2. Shanghai Center for Mathematical Sciences, Fudan University, Shanghai, P. R. China

3. School of Data Science, City University of Hong Kong, Kowloon, Hong Kong

Abstract

Kernel methods are popular in nonlinear and nonparametric regression due to their solid mathematical foundations and optimal statistical properties. However, scalability remains the primary bottleneck in applying kernel methods to large-scale data regression analysis. This paper aims to improve the scalability of kernel methods. We combine Nyström subsampling and the preconditioned conjugate gradient method to solve regularized kernel regression. Our theoretical analysis indicates that achieving optimal convergence rates requires only [Formula: see text] memory and [Formula: see text] time (up to logarithmic factors). Numerical experiments show that our algorithm outperforms existing methods in time efficiency and prediction accuracy on large-scale datasets. Notably, compared to the FALKON algorithm [A. Rudi, L. Carratino and L. Rosasco, Falkon: An optimal large scale kernel method, in Advances in Neural Information Processing Systems (Curran Associates, 2017), pp. 3891–3901], which is known as the optimal large-scale kernel method, our method is more flexible (applicable to non-positive definite kernel functions) and has a lower algorithmic complexity. Additionally, our established theoretical analysis further relaxes the restrictive conditions on hyperparameters previously imposed in convergence analyses.

Funder

National Natural Science Foundation of China

Shanghai Science and Technology Program

Publisher

World Scientific Pub Co Pte Ltd

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