Integrating multiple random sketches for singular value decomposition

arXiv1608.08285MaRDI QIDQ6276992FDOQ6276992

Authors: Ting-Li Chen, Dawei D. Chang, Suyun Huang, Hung Chen, Chienyao Lin, Weichung Wang 

Publication date: 29 August 2016

Abstract: The singular value decomposition (SVD) of large-scale matrices is a key tool in data analytics and scientific computing. The rapid growth in the size of matrices further increases the need for developing efficient large-scale SVD algorithms. Randomized SVD based on one-time sketching has been studied, and its potential has been demonstrated for computing a low-rank SVD. Instead of exploring different single random sketching techniques, we propose a Monte Carlo type integrated SVD algorithm based on multiple random sketches. The proposed integration algorithm takes multiple random sketches and then integrates the results obtained from the multiple sketched subspaces. So that the integrated SVD can achieve higher accuracy and lower stochastic variations. The main component of the integration is an optimization problem with a matrix Stiefel manifold constraint. The optimization problem is solved using Kolmogorov-Nagumo-type averages. Our theoretical analyses show that the singular vectors can be induced by population averaging and ensure the consistencies between the computed and true subspaces and singular vectors. Statistical analysis further proves a strong Law of Large Numbers and gives a rate of convergence by the Central Limit Theorem. Preliminary numerical results suggest that the proposed integrated SVD algorithm is promising.

This page was built for publication: Integrating multiple random sketches for singular value decomposition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6276992)