Large-Scale Nyström Kernel Matrix Approximation Using Randomized SVD

The Nyström method is an efficient technique for the eigenvalue decomposition of large kernel matrices. However, to ensure an accurate approximation, a sufficient number of columns have to be sampled. On very large data sets, the singular value decomposition (SVD) step on the resultant data submatrix can quickly dominate the computations and become prohibitive. In this paper, we propose an accurate and scalable Nyström scheme that first samples...