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Reports (Research Report) Year : 2016

Low rank approximation of a sparse matrix based on LU factorization with column and row tournament pivoting

Approximation de rang faible pour les matrices creuses

Abstract

In this paper we present an algorithm for computing a low rank approximation of a sparse matrix based on a truncated LU factorization with column and row permutations. We present various approaches for determining the column and row permutations that show a trade-off between speed versus deterministic/probabilistic accuracy. We show that if the permutations are chosen by using tournament pivoting based on QR factorization, then the obtained truncated LU factorization with column/row tournament pivoting, LU\_CRTP, satisfies bounds on the singular values which have similarities with the ones obtained by a communication avoiding rank revealing QR factorization. Experiments on challenging matrices show that LU_CRTP provides a good low rank approximation of the input matrix and it is less expensive than the rank revealing QR factorization in terms of computational and memory usage costs, while also minimizing the communication cost. We also compare the computational complexity of our algorithm with randomized algorithms and show that for sparse matrices and high enough but still modest accuracies, our approach is faster.
Ce papier introduit un algorithme pour calculer une approximation de rang faible d’une matrice creuse. Cet algorithme est basé sur une factorisation LU avec des permutations de lignes et de colonnes.
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Dates and versions

hal-01313856 , version 1 (10-05-2016)

Identifiers

  • HAL Id : hal-01313856 , version 1

Cite

Laura Grigori, Sébastien Cayrols, James W. Demmel. Low rank approximation of a sparse matrix based on LU factorization with column and row tournament pivoting. [Research Report] RR-8910, inria. 2016, pp.35. ⟨hal-01313856⟩
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