Entrywise error bounds for low-rank approximations of kernel matrices (2405.14494v2)

Abstract: In this paper, we derive entrywise error bounds for low-rank approximations of kernel matrices obtained using the truncated eigen-decomposition (or singular value decomposition). While this approximation is well-known to be optimal with respect to the spectral and Frobenius norm error, little is known about the statistical behaviour of individual entries. Our error bounds fill this gap. A key technical innovation is a delocalisation result for the eigenvectors of the kernel matrix corresponding to small eigenvalues, which takes inspiration from the field of Random Matrix Theory. Finally, we validate our theory with an empirical study of a collection of synthetic and real-world datasets.