Fast and stable deterministic approximation of general symmetric kernel matrices in high dimensions

Kernel methods are used frequently in various applications of machine learning. For large-scale applications, the success of kernel methods hinges on the ability to operate certain large dense kernel matrix K. To reduce the computational cost, Nyström methods can efficiently compute a low-rank approximation to a symmetric positive semi-definite (SPSD) matrix K through landmark points and many variants have been developed in the past few years. For indefinite kernels, however, it has not even been justified whether Nyström approximations are applicable. In this paper, we study for the first time, both theoretically and numerically, the Nyström method for approximating general symmetric kernels, including indefinite ones. We first develop a unified theoretical framework for analyzing Nyström approximations, which is valid for both SPSD and indefinite kernels and is independent of the specific scheme for selecting landmark points. To address the accuracy and numerical stability issues in Nyström approximation, we then study the impact of data geometry on the spectral property of the corresponding kernel matrix and leverage the discrepancy theory to propose the anchor net method for computing Nyström approximations. The anchor net method operates entirely on the dataset without requiring the access to K or its matrix-vector product and scales linearly for both SPSD and indefinite kernel matrices. Extensive numerical experiments suggest that indefinite kernels are much more challenging than SPSD kernels and most existing methods will suffer from numerical instability. Results on various kinds of kernels and machine learning datasets demonstrate that the new method resolves the numerical instability and achieves better accuracy with smaller computation costs compared to the state-of-the-art Nyström methods.