5 years ago

# Learning the Second-Moment Matrix of a Smooth Function From Random Point Samples.

Ping Li, Armin Eftekhari, Paul G. Constantine, Michael B. Wakin

Consider an open set $\mathbb{D}\subseteq\mathbb{R}^n$, equipped with a probability measure $\mu$. An important characteristic of a smooth function $f:\mathbb{D}\rightarrow\mathbb{R}$ is its second-moment matrix $\Sigma_{\mu}:=\int \nabla f(x) \nabla f(x)^* \mu(dx) \in\mathbb{R}^{n\times n}$, where $\nabla f(x)\in\mathbb{R}^n$ is the gradient of $f(\cdot)$ at $x\in\mathbb{D}$ and $*$ stands for transpose. For instance, the span of the leading $r$ eigenvectors of $\Sigma_{\mu}$ forms an active subspace of $f(\cdot)$, which contains the directions along which $f(\cdot)$ changes the most and is of particular interest in ridge approximation. In this work, we propose a simple algorithm for estimating $\Sigma_{\mu}$ from random point evaluations of $f(\cdot)$ without imposing any structural assumptions on $\Sigma_{\mu}$. Theoretical guarantees for this algorithm are established with the aid of the same technical tools that have proved valuable in the context of covariance matrix estimation from partial measurements.

Publisher URL: http://arxiv.org/abs/1612.06339

DOI: arXiv:1612.06339v4

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