Perturbation Analysis for Preconditioned Normal Equations in Mixed Precision

Abstract: For real matrices of full column-rank, we analyze the conditioning of several types of normal equations that are preconditioned by a randomized preconditioner computed in lower precision. These include symmetrically preconditioned normal equations, half-preconditioned normal equations, seminormal equations and not-normal equations. Our perturbation bounds are realistic and informative, and suggest that the conditioning depends only mildly on the quality of the preconditioner; however, it does depend on the size of the least squares residual -- even if the normal equations do not originate from a least squares problem. We illustrate that a randomized preconditioner can deliver a solution accuracy comparable to that of Matlab's mldivide command, is efficient in practice, and well-suited to GPU implementations. For the computation of the preconditioner, we propose an automatic selection of the precision, based on a fast condition number estimation in lower precision.