Error Estimation for Random Fourier Features
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Abstract (arXiv)
Random Fourier Features (RFF) is among the most popular and broadly applicable approaches for scaling up kernel methods. In essence, RFF allows the user to avoid costly computations on a large kernel matrix via a fast randomized approximation. However, a pervasive difficulty in applying RFF is that the user does not know the actual error of the approximation, or how this error will propagate into downstream learning tasks. Up to now, the RFF literature has primarily dealt with these uncertainties using theoretical error bounds, but from a user's standpoint, such results are typically impractical -- either because they are highly conservative or involve unknown quantities. To tackle these general issues in a data-driven way, this paper develops a bootstrap approach to numerically estimate the errors of RFF approximations. Three key advantages of this approach are: (1) The error estimates are specific to the problem at hand, avoiding the pessimism of worst-case bounds. (2) The approach is flexible with respect to different uses of RFF, and can even estimate errors in downstream learning tasks. (3) The approach enables adaptive computation, so that the user can quickly inspect the error of a rough initial kernel approximation and then predict how much extra work is needed. Lastly, in exchange for all of these benefits, the error estimates can be obtained at a modest computational cost.
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). Builds on 23 of its 57 references that are in the map. First posted on arXiv 22 Feb 2023.
Builds on
23 of 57 references.
References · 23
- 2016Generalization Properties of Learning with Random Featurescited by 163
- 2020Random Features for Kernel Approximation: A Survey on Algorithms, Theory, and Beyondcited by 107
- 2015On the Error of Random Fourier Featurescited by 76
- 2014Fastfood: Approximate Kernel Expansions in Loglinear Timecited by 72
- 2018Random Fourier Features for Kernel Ridge Regression: Approximation Bounds and Statistical Guaranteescited by 71
- 2017The Unreasonable Effectiveness of Structured Random Orthogonal Embeddingscited by 43
- 2015Optimal Rates for Random Fourier Featurescited by 38
- 2014Scalable Kernel Methods via Doubly Stochastic Gradientscited by 36
- 2018But How Does It Work in Theory? Linear SVM with Random Featurescited by 28
- 2014Randomized Nonlinear Component Analysiscited by 18
- 2014FastMMD: Ensemble of Circular Discrepancy for Efficient Two-Sample Testcited by 17
- 2021Learning to Forecast Dynamical Systems from Streaming Datacited by 17
11 more
- 2021Bootstrapping the error of Oja's algorithmcited by 11
- 2016Recycling Randomness with Structure for Sublinear time Kernel Expansionscited by 8
- 2018Low-Precision Random Fourier Features for Memory-Constrained Kernel Approximationcited by 7
- 2021Quantization Algorithms for Random Fourier Featurescited by 7
- 2017Statistical properties of sketching algorithmscited by 6
- 2018Error Estimation for Randomized Least-Squares Algorithms via the Bootstrapcited by 6
- 2017A Bootstrap Method for Error Estimation in Randomized Matrix Multiplicationcited by 5
- 2020Error Estimation for Sketched SVD via the Bootstrapcited by 5
- 2019Bootstrapping the Operator Norm in High Dimensions: Error Estimation for Covariance Matrices and Sketchingcited by 4
- 2021Wind Field Reconstruction with Adaptive Random Fourier Featurescited by 3
- 2018Diffusion Maps meet Nystr"omcited by 2
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