DiffRed: Dimensionality Reduction guided by stable rank
Prarabdh Shukla Gagan Raj Gupta Kunal Dutta
In this work, we propose a novel dimensionality reduction technique, DiffRed,
which first projects the data matrix, A, along first $k_1$ principal components
and the residual matrix $A^{*}$ (left after subtracting its $k_1$-rank
approximation) along $k_2$ Gaussian random vectors. We evaluate M1, the
distortion of mean-squared pair-wise distance, and Stress, the normalized value
of RMS of distortion of the pairwise distances. We rigorously prove that
DiffRed achieves a general upper bound of
$O\left(\sqrt{\frac{1-p}{k_2}}\right)$ on Stress and
$O\left(\frac{(1-p)}{\sqrt{k_2*\rho(A^{*})}}\right)$ on M1 where $p$ is the
fraction of variance explained by the first $k_1$ principal components and
$\rho(A^{*})$ is the stable rank of $A^{*}$. These bounds are tighter than the
currently known results for Random maps. Our extensive experiments on a variety
of real-world datasets demonstrate that DiffRed achieves near zero M1 and much
lower values of Stress as compared to the well-known dimensionality reduction
techniques. In particular, DiffRed can map a 6 million dimensional dataset to
10 dimensions with 54% lower Stress than PCA.