Collect, Commit, Expand: Efficient CPQR-Based Column Selection for Extremely Wide Matrices

Abstract: Column-pivoted QR (CPQR) factorization is a computational primitive used in numerous applications that require selecting a small set of representative'' columns from a much larger matrix. These include applications in spectral clustering, model-order reduction, low-rank approximation, and computational quantum chemistry, where the matrix being factorized has a moderate number of rows but an extremely large number of columns. We describe a modification of the Golub-Businger algorithm which, for many matrices of this type, can perform CPQR-based column selection much more efficiently. This algorithm, which we call CCEQR, is based on a three-stepcollect, commit, expand'' strategy that limits the number of columns being manipulated, while also transferring more computational effort from level-2 BLAS to level-3. Unlike most CPQR algorithms that exploit level-3 BLAS, CCEQR is deterministic, and provably recovers a column permutation equivalent to the one computed by the Golub-Businger algorithm. Tests on spectral clustering and Wannier basis localization problems demonstrate that on appropriately structured problems, CCEQR can significantly outperform GEQP3.