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This paper introduces a novel randomized sketching approach that combines Hadamard flattening and Gaussian pooling to improve coordinate-wise accuracy in overconstrained $\ell_2$ regression. The authors address the limitations of previous methods that relied on independence assumptions, demonstrating that their technique achieves an $\ell_\infty$ guarantee with a significantly reduced row count of $O(\epsilon^{-2}d\log d)$. This advancement not only enhances the efficiency of the regression process but also ensures that the solution vector remains close to the optimal solution in a robust manner.
Achieving nearly-linear row count for coordinate-wise accuracy in regression, this method guarantees optimal solutions while bypassing previous independence pitfalls.
Randomized sketch-and-solve algorithms accelerate overconstrained $\ell_2$ regression by replacing the input with a smaller problem. Standard subspace embeddings guarantee that the cost of the regression is nearly preserved, but coordinate-wise accuracy of the solution is more delicate: we want the solution vector itself to be close to the optimal solution in $\ell_\infty$ norm. In particular, we want to find a vector $x'\in \mathbb{R}^d$ such that $\|x'-x^*\|_\infty\leq \frac{\epsilon}{\sqrt d}\cdot \|Ax^\star-b\|_2\cdot \|A^\dagger\|_{\rm op}$. Price, Song and Woodruff initiated the study of this problem and showed that the subsampled randomized Hadamard transform (SRHT) with $O(\epsilon^{-2} d^{1+\Theta(\sqrt{\log\log n/\log d})})$ rows achieves this guarantee. A subsequent work of Song, Ye, Yin and Zhang claimed to improve the row count to $O(\epsilon^{-2}d\log^3 n)$. Unfortunately, their proof relies on an independence assumption that does not hold in general, and we exhibit an explicit instance on which it fails. To achieve a truly nearly-linear-in-$d$ row count, we introduce a new fast, dense randomized transform, which combines a randomized Hadamard flattening, a random permutation, and balanced, disjoint Gaussian pooling. Conditioned on the Hadamard-and-permutation stage, the sketched problem becomes an exact Gaussian regression in which the noise is independent of the entire sketched design; this conditional independence is exactly what the earlier argument was missing. Our sketch yields the $\ell_\infty$ guarantee with $m=O(\epsilon^{-2}d\log d)$ rows, uses one Hadamard pass with a padded internal dimension $N=\widetilde{O}(n+\epsilon^{-2}d^3)$, and is efficient to apply: the sketched pair $(SA, Sb)$ can be computed in $O(Nd\log N)=\widetilde{O}(nd+\epsilon^{-2}d^4)$ time.
