高级算法 (Fall 2019)/Dimension Reduction

Metric Embedding

A metric space is a pair [math]\displaystyle{ (X,d) }[/math], where [math]\displaystyle{ X }[/math] is a set and [math]\displaystyle{ d }[/math] is a metric (or distance) on [math]\displaystyle{ X }[/math], i.e., a function

[math]\displaystyle{ d:X^2\to\mathbb{R}_{\ge 0} }[/math]

such that for any [math]\displaystyle{ x,y,z\in X }[/math], the following axioms hold:

1. (identity of indiscernibles) [math]\displaystyle{ d(x,y)=0\Leftrightarrow x=y }[/math]
2. (symmetry) [math]\displaystyle{ d(x,y)=d(y,x) }[/math]
3. (triangle inequality) [math]\displaystyle{ d(x,z)\le d(x,y)+d(y,z) }[/math]

Let [math]\displaystyle{ (X,d_X) }[/math] and [math]\displaystyle{ (Y,d_Y) }[/math] be two metric spaces. A mapping

[math]\displaystyle{ \phi:X\to Y }[/math]

is called an embedding of metric space [math]\displaystyle{ X }[/math] into [math]\displaystyle{ Y }[/math]. The embedding is said to with distortion [math]\displaystyle{ \alpha\ge1 }[/math] if for any [math]\displaystyle{ x,y\in X }[/math] it holds that

[math]\displaystyle{ \frac{1}{\alpha}\cdot d(x,y)\le d(\phi(x),\phi(y))\le \alpha\cdot d(x,y) }[/math].

In Computer Science, a typical scenario for the metric embedding is as follows. We want to solve some difficult computation problem on a metric space [math]\displaystyle{ (X,d) }[/math]. Instead of solving this problem directly on the original metric space, we embed the metric into a new metric space [math]\displaystyle{ (Y,d_Y) }[/math] (with low distortion) where the computation problem is much easier to solve.

One particular important case for the metric embedding is to embed a high-dimensional metric space to a new metric space whose dimension is much lower. This is called dimension reduction. This can be very helpful because various very common computation tasks can be very hard to solve on high-dimensional space due to the curse of dimensionality.

The Johnson-Lindenstrauss Theorem

The Johnson-Lindenstrauss Theorem (JLT) is a fundamental result for dimension reduction in Euclidian space.

Recall that in Euclidian space [math]\displaystyle{ \mathbf{R}^d }[/math], for any two points [math]\displaystyle{ x,y\in\mathbf{R}^d }[/math], the Euclidian distance between them is given by [math]\displaystyle{ \|x-y\|=\sqrt{(x_1-y_1)^2+(x_2-y_2)^2+\cdots +(x_d-y_d)^2} }[/math], where [math]\displaystyle{ \|\cdot\|=\|\cdot\|_2 }[/math] denotes the Euclidian norm (a.k.a. the [math]\displaystyle{ \ell_2 }[/math]-norm).

The JLT says that in Euclidian space, it is always possible to embed a set of [math]\displaystyle{ n }[/math] points in arbitrary dimension to [math]\displaystyle{ O(\log n) }[/math] dimension with constant distortion. The theorem itself is stated formally as follows.

Johnson-Lindenstrauss Theorem, 1984

For any [math]\displaystyle{ 0\lt \epsilon\lt 1 }[/math] and any positive integer [math]\displaystyle{ n }[/math], there is a positive integer [math]\displaystyle{ k=O(\epsilon^{-2}\log n) }[/math] such that the following holds: For any set [math]\displaystyle{ S\subset\mathbf{R}^d }[/math] with [math]\displaystyle{ |S|=n }[/math], where [math]\displaystyle{ d }[/math] is arbitrary, there is an embedding [math]\displaystyle{ \phi:\mathbf{R}^d\rightarrow\mathbf{R}^k }[/math] such that [math]\displaystyle{ \forall x,y\in S,\quad (1-\epsilon)\|x-y\|\le\|\phi(x)-\phi(y)\|\le(1+\epsilon)\|x-y\| }[/math].

In fact, the embedding [math]\displaystyle{ \phi:\mathbf{R}^d\rightarrow\mathbf{R}^k }[/math] can be as simple as a linear transformation [math]\displaystyle{ A\in\mathbf{R}^{d\times k} }[/math] so that [math]\displaystyle{ \phi(x)=Ax }[/math] for any [math]\displaystyle{ x\in\mathbf{R}^{d} }[/math]. Therefore, the above JLT can be stated more precisely as follows.

Johnson-Lindenstrauss Theorem (linear embedding)

For any [math]\displaystyle{ 0\lt \epsilon\lt 1 }[/math] and any positive integer [math]\displaystyle{ n }[/math], there is a positive integer [math]\displaystyle{ k=O(\epsilon^{-2}\log n) }[/math] such that the following holds: For any set [math]\displaystyle{ S\subset\mathbf{R}^d }[/math] with [math]\displaystyle{ |S|=n }[/math], where [math]\displaystyle{ d }[/math] is arbitrary, there is a linear transformation [math]\displaystyle{ A\in\mathbf{R}^{d\times k} }[/math] such that [math]\displaystyle{ \forall x,y\in S,\quad (1-\epsilon)\|x-y\|\le\|Ax-Ay\|\le(1+\epsilon)\|x-y\| }[/math].