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A randomized algorithm for the QR decomposition-based approximate SVD (2305.11450v1)
Published 19 May 2023 in math.NA and cs.NA
Abstract: Matrix decomposition is a very important mathematical tool in numerical linear algebra for data processing. In this paper, we introduce a new randomized matrix decomposition algorithm, which is called randomized approximate SVD based on Qatar Riyal decomposition (RCSVD-QR). Our method utilize random sampling and the OR decomposition to address a serious bottlenck associated with classical SVD. RCSVD-QR gives satisfactory convergence speed as well as accuracy as compared to those state-of-the-art algorithms. In addition, we provides an estimate for the expected approximation error in Frobenius norm. Numerical experiments verify these claims.