Fast Parallel Randomized QR with Column Pivoting Algorithms for Reliable Low-Rank Matrix Approximations

Factorizing large matrices by QR with column pivoting (QRCP) is substantially more expensive than QR without pivoting, owing to communication costs required for pivoting decisions. In contrast, randomized QRCP (RQRCP) algorithms have proven themselves empirically to be highly competitive with high-p...

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Bibliographic Details
Published in:	Proceedings, 24th IEEE International Conference on High Performance Computing : 18-21 December 2017, Jaipur, India pp. 233 - 242
Main Authors:	Xiao, Jianwei, Gu, Ming, Langou, Julien
Format:	Conference Proceeding
Language:	English
Published:	IEEE 01.12.2017
Subjects:	Algorithm design and analysis Approximation algorithms Decorrelation distributed computing low-rank approximation Matrix decomposition QR factorization randomization spectrum-revealing Reliability theory
Online Access:	Get full text
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Summary:	Factorizing large matrices by QR with column pivoting (QRCP) is substantially more expensive than QR without pivoting, owing to communication costs required for pivoting decisions. In contrast, randomized QRCP (RQRCP) algorithms have proven themselves empirically to be highly competitive with high-performance implementations of QR in processing time, on uniprocessor and shared memory machines, and as reliable as QRCP in pivot quality. We show that RQRCP algorithms can be as reliable as QRCP with failure probabilities exponentially decaying in oversampling size. We also analyze efficiency differences among different RQRCP algorithms. More importantly, we develop distributed memory implementations of RQRCP that are significantly better than QRCP implementations in ScaLAPACK. As a further development, we introduce the concept of and develop algorithms for computing spectrum-revealing QR factorizations for low-rank matrix approximations, and demonstrate their effectiveness against leading low-rank approximation methods in both theoretical and numerical reliability and efficiency.
DOI:	10.1109/HiPC.2017.00035