URV Factorization with Random Orthogonal System Mixing (1703.02499v1)

Abstract: The unpivoted and pivoted Householder QR factorizations are ubiquitous in numerical linear algebra. A difficulty with pivoted Householder QR is the communication bottleneck introduced by pivoting. In this paper we propose using random orthogonal systems to quickly mix together the columns of a matrix before computing an unpivoted QR factorization. This method computes a URV factorization which forgoes expensive pivoted QR steps in exchange for mixing in advance, followed by a cheaper, unpivoted QR factorization. The mixing step typically reduces the variability of the column norms, and in certain experiments, allows us to compute an accurate factorization where a plain, unpivoted QR performs poorly. We experiment with linear least-squares, rank-revealing factorizations, and the QLP approximation, and conclude that our randomized URV factorization behaves comparably to a similar randomized rank-revealing URV factorization, but at a fraction of the computational cost. Our experiments provide evidence that our proposed factorization might be rank-revealing with high probability.