Randomized QLP algorithm and error analysis

Publication date 22 November 2018

Abstract: In this paper, we describe the randomized QLP (RQLP) algorithm and its enhanced version (ERQLP) for computing the low rank approximation to

A

of size

m i m e s n

efficiently such that

A a p p r o x Q L P

, where

L

is the rank-

k

lower-triangular matrix,

Q

and

P

are column orthogonal matrices. The theoretical cost of the implementation of RQLP and ERQLP only needs

m a t h c a l O (m n k)

. Moreover, we derive the upper bounds of the expected approximation error

m a t h b b E l e f t [(s i g m a_{j} (A) - s i g m a_{j} (L)) / s i g m a_{j} (A) i g h t]

for

j = 1, c d o t s, k

, and prove that the

L

-values of the proposed methods can track the singular values of

A

accurately. These claims are supported by extensive numerical experiments.

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