Efficient Algorithms for CUR and Interpolative Matrix Decompositions

The manuscript describes efficient algorithms for the computation of the CUR and ID decompositions. The methods used are based on simple modifications to the classical truncated pivoted QR decomposition, which means that highly optimized library codes can be utilized for implementation. For certain applications, further acceleration can be attained by incorporating techniques based on randomized projections. Numerical experiments demonstrate advantageous performance compared to existing techniques for computing CUR factorizations

Matrix Factorization at Scale: a Comparison of Scientific Data Analytics in Spark and C+MPI Using Three Case Studies

We explore the trade-offs of performing linear algebra using Apache Spark, compared to traditional C and MPI implementations on HPC platforms. Spark is designed for data analytics on cluster computing platforms with access to local disks and is optimized for data-parallel tasks. We examine three widely-used and important matrix factorizations: NMF (for physical plausability), PCA (for its ubiquity) and CX (for data interpretability). We apply these methods to TB-sized problems in particle physics, climate modeling and bioimaging. The data matrices are tall-and-skinny which enable the algorithms to map conveniently into Spark's data-parallel model. We perform scaling experiments on up to 1600 Cray XC40 nodes, describe the sources of slowdowns, and provide tuning guidance to obtain high performance

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 $A$, the algorithm computes a factorization $A = UTV^{*}$, where $U$ and $V$ have orthonormal columns, and $T$ 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 $A$. 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

A continuous analogue of the tensor-train decomposition

We develop new approximation algorithms and data structures for representing and computing with multivariate functions using the functional tensor-train (FT), a continuous extension of the tensor-train (TT) decomposition. The FT represents functions using a tensor-train ansatz by replacing the three-dimensional TT cores with univariate matrix-valued functions. The main contribution of this paper is a framework to compute the FT that employs adaptive approximations of univariate fibers, and that is not tied to any tensorized discretization. The algorithm can be coupled with any univariate linear or nonlinear approximation procedure. We demonstrate that this approach can generate multivariate function approximations that are several orders of magnitude more accurate, for the same cost, than those based on the conventional approach of compressing the coefficient tensor of a tensor-product basis. Our approach is in the spirit of other continuous computation packages such as Chebfun, and yields an algorithm which requires the computation of "continuous" matrix factorizations such as the LU and QR decompositions of vector-valued functions. To support these developments, we describe continuous versions of an approximate maximum-volume cross approximation algorithm and of a rounding algorithm that re-approximates an FT by one of lower ranks. We demonstrate that our technique improves accuracy and robustness, compared to TT and quantics-TT approaches with fixed parameterizations, of high-dimensional integration, differentiation, and approximation of functions with local features such as discontinuities and other nonlinearities