16 research outputs found
randUTV: A blocked randomized algorithm for computing a rank-revealing UTV factorization
This manuscript describes the randomized algorithm randUTV for computing a so
called UTV factorization efficiently. Given a matrix , the algorithm
computes a factorization , where and have orthonormal
columns, and is triangular (either upper or lower, whichever is preferred).
The algorithm randUTV is developed primarily to be a fast and easily
parallelized alternative to algorithms for computing the Singular Value
Decomposition (SVD). randUTV provides accuracy very close to that of the SVD
for problems such as low-rank approximation, solving ill-conditioned linear
systems, determining bases for various subspaces associated with the matrix,
etc. Moreover, randUTV produces highly accurate approximations to the singular
values of . Unlike the SVD, the randomized algorithm proposed builds a UTV
factorization in an incremental, single-stage, and non-iterative way, making it
possible to halt the factorization process once a specified tolerance has been
met. Numerical experiments comparing the accuracy and speed of randUTV to the
SVD are presented. These experiments demonstrate that in comparison to column
pivoted QR, which is another factorization that is often used as a relatively
economic alternative to the SVD, randUTV compares favorably in terms of speed
while providing far higher accuracy
randUTV: A Blocked Randomized Algorithm for Computing a Rank-Revealing UTV Factorization
A randomized algorithm for computing a so-called UTV factorization efficiently is presented. Given a matrix , the algorithm “randUTV” computes a factorization , where and have orthonormal columns, and is triangular (either upper or lower, whichever is preferred). The algorithm randUTV is developed primarily to be a fast and easily parallelized alternative to algorithms for computing the Singular Value Decomposition (SVD). randUTV provides accuracy very close to that of the SVD for problems such as low-rank approximation, solving ill-conditioned linear systems, and determining bases for various subspaces associated with the matrix. Moreover, randUTV produces highly accurate approximations to the singular values of . Unlike the SVD, the randomized algorithm proposed builds a UTV factorization in an incremental, single-stage, and noniterative way, making it possible to halt the factorization process once a specified tolerance has been met. Numerical experiments comparing the accuracy and speed of randUTV to the SVD are presented. Other experiments also demonstrate that in comparison to column-pivoted QR, which is another factorization that is often used as a relatively economic alternative to the SVD, randUTV compares favorably in terms of speed while providing far higher accuracy