An Augmented Matrix-Based CJ-FEAST SVDsolver for Computing a Partial Singular Value Decomposition with the Singular Values in a Given Interval

DOI10.1137/23M1547500arXiv2301.06280MaRDI QIDQ6180351FDOQ6180351

Authors: Zhongxiao Jia, Kailiang Zhang 

Publication date: 19 January 2024

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Abstract: The cross-product matrix-based CJ-FEAST SVDsolver proposed previously by the authors is shown to compute the left singular vector possibly much less accurately than the right singular vector and may be numerically backward unstable when a desired singular value is small. In this paper, an alternative augmented matrix-based CJ-FEAST SVDsolver is considered to compute the singular triplets of a large matrix $A$ with the singular values in an interval $[a,b]$ contained in the singular spectrum. The new CJ-FEAST SVDsolver is a subspace iteration applied to an approximate spectral projector of the augmented matrix $[0,A^T;A,0]$ associated with the eigenvalues in $[a,b]$, and constructs approximate left and right singular subspaces with the desired singular values independently, onto which $A$ is projected to obtain the Ritz approximations to the desired singular triplets. Compact estimates are given for the accuracy of the approximate spectral projector, and a number of convergence results are established. The new solver is proved to be always numerically backward stable. A convergence comparison of the cross-product and augmented matrix-based CJ-FEAST SVDsolvers is made, and a general-purpose choice strategy between the two solvers is proposed for the robustness and overall efficiency. Numerical experiments confirm all the results.

Full work available at URL: https://arxiv.org/abs/2301.06280

Recommendations

• A FEAST SVDsolver based on Chebyshev-Jackson series for computing partial singular triplets of large matrices
• Using cross-product matrices to compute the SVD
• A Jacobi--Davidson type SVD method
• A preconditioned hybrid SVD method for accurately computing singular triplets of large matrices
• New Accurate Algorithms for Singular Value Decomposition of Matrix Triplets

zbMATH Keywords

singular value decompositionnumerical backward stabilityFEAST SVDsolverChebyshev-Jackson series

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Cites Work

• FEAST as a subspace iteration eigensolver accelerated by approximate spectral projection
• The University of Florida sparse matrix collection
• Diffusion maps
• Title not available (Why is that?)
• Title not available (Why is that?)
• Matrix algorithms. Vol. 2: Eigensystems
• Numerical methods for large eigenvalue problems
• Title not available (Why is that?)
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• An Implicitly Restarted Refined Bidiagonalization Lanczos Method for Computing a Partial Singular Value Decomposition
• A projection method for generalized eigenvalue problems using numerical integration.
• Title not available (Why is that?)
• Geometric diffusions as a tool for harmonic analysis and structure definition of data: multiscale methods
• Zolotarev quadrature rules and load balancing for the FEAST eigensolver
• Randomized anisotropic transform for nonlinear dimensionality reduction
• Electronic structure calculations for plane-wave codes without diagonalization
• Using cross-product matrices to compute the SVD
• On the convergence of Ritz pairs and refined Ritz vectors for quadratic eigenvalue problems
• On randomized trace estimates for indefinite matrices with an application to determinants
• On choices of formulations of computing the generalized singular value decomposition of a large matrix pair
• Feast eigensolver for non-Hermitian problems
• Krylov eigenvalue strategy using the FEAST algorithm with inexact system solves.
• A FEAST SVDsolver based on Chebyshev-Jackson series for computing partial singular triplets of large matrices

Cited In (1)

• A FEAST SVDsolver based on Chebyshev-Jackson series for computing partial singular triplets of large matrices

This page was built for publication: An Augmented Matrix-Based CJ-FEAST SVDsolver for Computing a Partial Singular Value Decomposition with the Singular Values in a Given Interval

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6180351)