arXiv:2606.23655cs.LGcs.DS2026-06

动态调整估计预算,高效追踪缓慢变化序列的函数值。

Dynamic estimation of slowly varying sequences

  • 提出通用框架,适用于多种线性与非线性函数的序列估计。
  • 新算法实现路径长度相关成本界,比之前最优结果更优。
  • 可在线估计变化量,无需预知最大波动,适合稳定序列。

本文研究如何在缓慢变化的序列中,逐元素近似各类函数。当相邻元素差值幅度 α_i 较小时,复用历史查询可降低总成本。我们提出一个通用框架,推广此思想至矩阵幂、谱密度、蒙特卡洛积分及偏微分方程边值问题等场景。进一步设计一种新算法,根据 α_t 动态分配估计预算,获得成本为 𝒪(∑α_i) 的路径长度型上界,优于此前固定预算的 𝒪(m·max_i α_i)。该方法在稳定但偶有突变的序列中更高效。此外,在某些情况下可在线估算 α_i,几乎无额外开销。整体框架使序列估计更通用且自适应,显著提升动态迹估计的理论保证。

原文摘要 · Abstract (English)

We consider the problem of sequentially approximating functions of each element in a slowly-varying sequence, i.e. one where the magnitude $α_i$ of the difference between the elements at positions $i$ and $i-1$ is small. Recent work on implicit trace estimation shows that when $α_t$ is small, reusing queries to past sequence elements can reduce the overall cost [Dharangutte \& Musco, NeurIPS~2021; Woodruff et al., NeurIPS~2022]. We introduce a framework generalizing this to a variety of linear and nonlinear functions on diverse vector spaces, obtaining novel sequential estimation results for matrix powers, spectral densities, Monte Carlo integration, and a boundary value problem from partial differential equations~(PDEs). Furthermore, we develop a novel algorithm for use with this framework that locally scales the estimation budget with $α_t$, obtaining sharper path-length-style variation bounds of form $\mathcal O(\sum_{i=1}^mα_i)$ on the cost of estimating a sequence of length $m$. This improves upon the previous implicit trace estimation bound of $\mathcal O(m\cdot\max_iα_i)$ [Dharangutte \& Musco, NeurIPS~2021], which is achieved by fixing the query budget using the worst-case $α_i$ and is thus inefficient for stable sequences with rare bursts. Lastly, while all past work assumes a known bound on $α_i$, we show in certain cases how the changes can be estimated on-the-fly with (nearly) no added cost. In summary, our framework makes the sequential approximation toolkit general-purpose and adaptive while improving upon state-of-the-art-guarantees for dynamic trace estimation.

序列估计动态优化迹估计

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