A DEIM Induced CUR Factorization

We derive a CUR matrix factorization based on the Discrete Empirical Interpolation Method (DEIM). For a given matrix $A$, such a factorization provides a low rank approximate decomposition of the form $A \approx C U R$, where $C$ and $R$ are subsets of the columns and rows of $A$, and $U$ is constructed to make $CUR$ a good approximation. Given a low-rank singular value decomposition $A \approx V S W^T$, the DEIM procedure uses $V$ and $W$ to select the columns and rows of $A$ that form $C$ and $R$. Through an error analysis applicable to a general class of CUR factorizations, we show that the accuracy tracks the optimal approximation error within a factor that depends on the conditioning of submatrices of $V$ and $W$. For large-scale problems, $V$ and $W$ can be approximated using an incremental QR algorithm that makes one pass through $A$. Numerical examples illustrate the favorable performance of the DEIM-CUR method, compared to CUR approximations based on leverage scores

Probabilistic upper bounds for the matrix two-norm

We develop probabilistic upper bounds for the matrix two-norm, the largest singular value. These bounds, which are true upper bounds with a user-chosen high probability, are derived with a number of different polynomials that implicitly arise in the Lanczos bidiagonalization process. Since these polynomials are adaptively generated, the bounds typically give very good results. They can be computed efficiently. Together with an approximation that is a guaranteed lower bound, this may result in a small probabilistic interval for the matrix norm of large matrices within a fraction of a second

Fast Approximated POD for a Flat Plate Benchmark with a Time Varying Angle of Attack

An approximate POD algorithm provides an empirical Galerkin approximation with guaranteed a priori lower bound on the required resolution. The snapshot ensemble is partitioned into several sub-ensembles. Cross correlations between these sub-ensembles are approximated in terms of a far smaller correlation matrix. Computational speedup is nearly linear in the number of partitions, up to a saturation that can be estimated a priori. The algorithm is particularly suitable for analyzing long transient trajectories of high dimensional simulations, but can be applied also for spatial partitioning and parallel processing of very high spatial dimension data. The algorithm is demonstrated using transient data from two simulations. First, a two dimensional simulation of the flow over a flat plate, as it transitions from AOA = 30° to a horizontal position and back. Second, a three dimensional simulation of a flat plate with aspect ratio two as it transitions from a horizontal position to AOA = 30°