Robust recovery of low-rank matrices and low-tubal-rank tensors from noisy sketches
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A common approach for compressing large-scale data is through matrix sketching. In this work, we consider the problem of recovering low-rank matrices from two noisy sketches using the double sketching algorithm discussed in Fazel et al. (2008). Using tools from non-asymptotic random matrix theory, we provide the first theoretical guarantees characterizing the error between the output of the double sketch algorithm and the ground truth low-rank matrix. We apply our result to the problems of low-rank matrix approximation and low-tubal-rank tensor recovery.
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