The statistical analysis of Randomized Numerical Linear Algebra (RandNLA) algorithms within the past few years has mostly focused on their performance as point estimators. However, this is insufficient for conducting statistical inference, e.g., constructing confidence intervals and hypothesis testing, since the distribution of the estimator is lacking. In this article, we develop an asymptotic analysis to derive the distribution of RandNLA sampling estimators for the least-squares problem. In particular, we derive the asymptotic distribution of a general sampling estimator with arbitrary sampling probabilities. The analysis is conducted in two complementary settings, i.e., when the objective of interest is to approximate the full sample estimator or is to infer the underlying ground truth model parameters. For each setting, we show that the sampling estimator is asymptotically normally distributed under mild regularity conditions. Moreover, the sampling estimator is asymptotically unbiased in both settings. Based on our asymptotic analysis, we use two criteria, the Asymptotic Mean Squared Error (AMSE) and the Expected Asymptotic Mean Squared Error (EAMSE), to identify optimal sampling probabilities. Several of these optimal sampling probability distributions are new to the literature, e.g., the root leverage sampling estimator and the predictor length sampling estimator. Our theoretical results clarify the role of leverage in the sampling process, and our empirical results demonstrate improvements over existing methods.

本文针对 least-squares 问题，利用渐进分析推导出一般采样估计器的渐近分布，并探讨了如何构建置信区间和假设检验，最后基于该理论提出了两个标准来确定最佳的采样概率分布。

随机数值线性代数算法采样估计的渐进分析