Part of Advances in Neural Information Processing Systems 32 (NeurIPS 2019)

*Michal Derezinski, Daniele Calandriello, Michal Valko*

We study the complexity of sampling from a distribution over all index subsets of the set {1, ..., n} with the probability of a subset S proportional to the determinant of the submatrix L*S of some n x n positive semidefinite matrix L, where L*S corresponds to the entries of L indexed by S. Known as a determinantal point process (DPP), this distribution is used in machine learning to induce diversity in subset selection. When sampling from DDPs, we often wish to sample multiple subsets S with small expected size k = E[|S|] << n from a very large matrix L, so it is important to minimize the preprocessing cost of the procedure (performed once) as well as the sampling cost (performed repeatedly). For this purpose we provide DPP-VFX, a new algorithm which, given access only to L, samples exactly from a determinantal point process while satisfying the following two properties: (1) its preprocessing cost is n poly(k), i.e., sublinear in the size of L, and (2) its sampling cost is poly(k), i.e., independent of the size of L. Prior to our results, state-of-the-art exact samplers required O(n^3) preprocessing time and sampling time linear in n or dependent on the spectral properties of L. We furthermore give a reduction which allows using our algorithm for exact sampling from cardinality constrained determinantal point processes with n poly(k) time preprocessing. Our implementation of DPP-VFX is provided at https://github.com/guilgautier/DPPy/.

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