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Gradient-based Sampling: An Adaptive Importance Sampling for Least-squares

NeurIPS 2016 · Learning theory and algorithms › Sample complexity · approach: Optimal mean estimation and subsampling

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
gradient-based sampling instead of leverage-based samplingleast-squares subsampling · CASP and NEWS real data (Poisson sampling)MSEHelped
Poisson sampling instead of sampling with replacement (ablation)gradient-based sampling · NEWS real dataMSE: GRAD-PS 0.399 vs GRAD-SR 0.752 at r=4800Helped
gradient-based sampling vs uniform sampling on synthetic mixture Gaussian dataleast-squares subsampling · GA, MG1, MG2 synthetic (n up to 500K)log MSEHelped
gradient-based sampling vs leverage-based sampling on Gaussian synthetic dataleast-squares subsampling · GA syntheticlog MSEHelped
gradient-based sampling computed in O(nd) instead of leverage scoresprobability computation cost · n=500K synthetic timinguser time (s)Helped
gradient-based sampling vs leverage-based sampling in MSE on CASP with sampling with replacementleast-squares subsampling · CASP real data (SR)MSE: GRAD-SR 1.567e-07 vs LEV-SR 2.050e-07 at r=4500 but GRAD-SR 2.069e-05 vs LEV-SR 1.962e-05 at r=45Mixed
gradient-based sampling vs leverage on CASP with Poisson sampling at small rleast-squares subsampling · CASP real data (PS)MSE: GRAD-PS 2.411e-05 vs LEV-PS 2.118e-05 at r=45; GRAD-PS 1.179e-07 vs LEV-PS 1.694e-07 at r=4500Mixed

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