### A New Theory for Sketching in Linear Regression

Large datasets create opportunities as well as analytic challenges. A recent development is to use random projection or sketching methods for dimension reduction in statistics and machine learning. In this work, we study the statistical performance of sketching algorithms for linear regression. Suppose we randomly project the data matrix and the outcome using a random sketching matrix reducing the sample size, and do linear regression on the resulting data. How much do we lose compared to the original linear regression? The existing theory does not give a precise enough answer, and this has been a bottleneck for using random projections in practice. In this paper, we introduce a new mathematical approach to the problem, relying on very recent results from asymptotic random matrix theory and free probability theory. This is a perfect fit, as the sketching matrices are random in practice. We allow the dimension and sample sizes to have an arbitrary ratio. We study the most popular sketching methods in a unified framework, including random projection methods (Gaussian and iid projections, uniform orthogonal projections, subsampled randomized Hadamard transforms), as well as sampling methods (including uniform, leverage-based, and greedy sampling). We find precise and simple expressions for the accuracy loss of these methods. These go beyond classical Johnson-Lindenstrauss type results, because they are exact, instead of being bounds up to constants. Our theoretical formulas are surprisingly accurate in extensive simulations and on two empirical datasets.

### Distributed linear regression by averaging

Modern massive datasets pose an enormous computational burden to practitioners. Distributed computation has emerged as a universal approach to ease the burden: Datasets are partitioned over machines, which compute locally, and communicate short messages. Distributed data also arises due to privacy reasons, such as in medicine. It is important to study how to do statistical inference and machine learning in a distributed setting. In this paper, we study one-step parameter averaging in statistical linear models under data parallelism. We do linear regression on each machine, and take a weighted average of the parameters. How much do we lose compared to doing linear regression on the full data? Here we study the performance loss in estimation error, test error, and confidence interval length in high dimensions, where the number of parameters is comparable to the training data size. We discover several key phenomena. First, averaging is not optimal, and we find the exact performance loss. Our results are simple to use in practice. Second, different problems are affected differently by the distributed framework. Estimation error and confidence interval length increases a lot, while prediction error increases much less. These results match simulations and a data analysis example. We rely on recent results from random matrix theory, where we develop a new calculus of deterministic equivalents as a tool of broader interest.

### Robust Partially-Compressed Least-Squares

Randomized matrix compression techniques, such as the Johnson-Lindenstrauss transform, have emerged as an effective and practical way for solving large-scale problems efficiently. With a focus on computational efficiency, however, forsaking solutions quality and accuracy becomes the trade-off. In this paper, we investigate compressed least-squares problems and propose new models and algorithms that address the issue of error and noise introduced by compression. While maintaining computational efficiency, our models provide robust solutions that are more accurate than those of classical compressed variants. We introduce tools from robust optimization together with a form of partial compression to improve the error-time trade-offs of compressed least-squares solvers. We develop an efficient solution algorithm for our Robust Partially-Compressed (RPC) model based on a reduction to a one-dimensional search.

### High-Dimensional Asymptotics of Prediction: Ridge Regression and Classification

We provide a unified analysis of the predictive risk of ridge regression and regularized discriminant analysis in a dense random effects model. We work in a high-dimensional asymptotic regime where $p, n \to \infty$ and $p/n \to \gamma \in (0, \, \infty)$, and allow for arbitrary covariance among the features. For both methods, we provide an explicit and efficiently computable expression for the limiting predictive risk, which depends only on the spectrum of the feature-covariance matrix, the signal strength, and the aspect ratio $\gamma$. Especially in the case of regularized discriminant analysis, we find that predictive accuracy has a nuanced dependence on the eigenvalue distribution of the covariance matrix, suggesting that analyses based on the operator norm of the covariance matrix may not be sharp. Our results also uncover several qualitative insights about both methods: for example, with ridge regression, there is an exact inverse relation between the limiting predictive risk and the limiting estimation risk given a fixed signal strength. Our analysis builds on recent advances in random matrix theory.

### Fast Randomized Kernel Ridge Regression with Statistical Guarantees

One approach to improving the running time of kernel-based methods is to build a small sketch of the kernel matrix and use it in lieu of the full matrix in the machine learning task of interest. Here, we describe a version of this approach that comes with running time guarantees as well as improved guarantees on its statistical performance.By extending the notion of \emph{statistical leverage scores} to the setting of kernel ridge regression, we are able to identify a sampling distribution that reduces the size of the sketch (i.e., the required number of columns to be sampled) to the \emph{effective dimensionality} of the problem. This latter quantity is often much smaller than previous bounds that depend on the \emph{maximal degrees of freedom}. We give an empirical evidence supporting this fact. Our second contribution is to present a fast algorithm to quickly compute coarse approximations to thesescores in time linear in the number of samples. More precisely, the running time of the algorithm is $O(np^2)$ with $p$ only depending on the trace of the kernel matrix and the regularization parameter. This is obtained via a variant of squared length sampling that we adapt to the kernel setting. Lastly, we discuss how this new notion of the leverage of a data point captures a fine notion of the difficulty of the learning problem.