Understand
We undertake a systematic study of sketching a quadratic form: given an $n \times n$ matrix $A$, create a succinct sketch $\textbf{sk}(A)$ which can produce (without further access to $A$) a multiplicative $(1+\epsilon)$-approximation to $x^T A x$ for any desired query $x \in \mathbb{R}^n$.
- While a general matrix does not admit non-trivial sketches, positive semi-definite (PSD) matrices admit sketches of size $\Theta(\epsilon^{-2} n)$, via the Johnson-Lindenstrauss lemma, achieving the "for each" guarantee, namely, for each query $x$, with a constant probability the sketch succeeds.
- (For the stronger "for all" guarantee, where the sketch succeeds for all $x$'s simultaneously, again there are no non-trivial sketches.) We design significantly better sketches for the important subclass of graph Laplacian matrices, which we also extend to symmetric diagonally dominant matrices.
- A sequence of work culminating in that of Batson, Spielman, and Srivastava (SIAM Review, 2014), shows that by choosing and reweighting $O(\epsilon^{-2} n)$ edges in a graph, one achieves the "for all" guarantee.