Join Newsletter

Sketch algorithms

YOW! Data 2019

In this talk we will look at how to efficiently (in both space and time) summarize large, potentially unbounded, streams of data by approximating the underlying distribution using so-called sketch algorithms. The main approach we are going to be looking at is summarization via histograms. Histograms have a number of desirable properties: they work well in an on-line setting, are embarrassingly parallel, and are space-bound. Not to mention they capture the entire (empirical) distribution which is something that otherwise often gets lost when doing descriptive statistics. Building from that we will delve into related problems of sampling in a stream setting, and updating in a batch setting; and highlight some cool tricks such as capturing time-dynamics via data snapshotting. To finish off we will touch upon algorithms to summarize categorical data, most notably count-min sketch.