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On an Inexpensive Triangular Approximation to the Singular Value Decomposition

dc.contributor.authorStewart, G. W.en_US
dc.date.accessioned2004-05-31T22:48:13Z
dc.date.available2004-05-31T22:48:13Z
dc.date.created1997-10en_US
dc.date.issued1998-10-15en_US
dc.identifier.urihttp://hdl.handle.net/1903/920
dc.description.abstractIn this paper we introduce a new decomposition called the pivoted QLP~decomposition. It is computed by applying pivoted orthogonal triangularization to the columns of the matrix $X$ in question to get an upper triangular factor $R$ and then applying the same procedure to the rows of $R$ to get a lower triangular matrix $L$. The diagonal elements of $R$ are called the R-values of $X$; those of $L$ are called the L-values. Numerical examples show that the L-values track the singular values of $X$ with considerable fidelity\,---\,far better than the R-values. At a gap in the L-values the decomposition provides orthonormal bases of analogues of row, column, and null spaces provided of $X$. The decomposition requires no more than twice the work required for a pivoted QR~decomposition. The computation of $R$ and $L$ can be interleaved, so that the computation can be the rows of $R$ to get a lower triangular matrix $L$. The diagonal elements of $R$ are called the R-values of $X$; those of $L$ are called the L-values. Numerical examples show that the L-values track the singular values of $X$ with considerable fidelity\,---\,far better than the R-values. At a gap in the L-values the decomposition provides orthonormal bases of analogues of row, column, and null spaces provided of $X$. The decomposition requires no more than twice the work required for a pivoted QR~decomposition. The computation of $R$ and $L$ can be interleaved, so that the computation can be terminated at any suitable point, which makes the decomposition especially suitable for low-rank determination problems. The interleaved algorithm also suggests a new, efficient 2-norm estimator. (Also cross-referenced as UMIACS-TR-97-75)en_US
dc.format.extent220896 bytes
dc.format.mimetypeapplication/postscript
dc.language.isoen_US
dc.relation.ispartofseriesUM Computer Science Department; CS-TR-3840en_US
dc.relation.ispartofseriesUMIACS; UMIACS-TR-97-75en_US
dc.titleOn an Inexpensive Triangular Approximation to the Singular Value Decompositionen_US
dc.typeTechnical Reporten_US
dc.relation.isAvailableAtDigital Repository at the University of Marylanden_US
dc.relation.isAvailableAtUniversity of Maryland (College Park, Md.)en_US
dc.relation.isAvailableAtTech Reports in Computer Science and Engineeringen_US
dc.relation.isAvailableAtUMIACS Technical Reportsen_US


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