An efficient, accurate and reliable approximation of a matrix by one of lower rank is a fundamental task in numerical linear algebra and signal processing applications. In this paper, we introduce a new matrix decomposition approach termed Subspace-Orbit Randomized singular value decomposition (SOR-SVD), which makes use of random sampling techniques to give an approximation to a low-rank matrix. Given a large and dense data matrix of size m × n with numerical rank k, where k min{m, n}, the algorithm requires a few passes through data, and can be computed in O(mnk) floating-point operations. Moreover, the SOR-SVD algorithm can utilize advanced computer architectures, and, as a result, it can be optimized for maximum efficiency. The SOR-SVD algorithm is simple, accurate, and provably correct, and outperforms previously reported techniques in terms of accuracy and efficiency. Our numerical experiments support these claims.
Low-rank matrix approximations play a fundamental role in numerical linear algebra and signal processing applications. This paper introduces a novel rank-revealing matrix decomposition algorithm termed Compressed Randomized UTV (CoR-UTV) decomposition along with a CoR-UTV variant aided by the power method technique. CoR-UTV is primarily developed to compute an approximation to a low-rank input matrix by making use of random sampling schemes. Given a large and dense matrix of size m × n with numerical rank k, where k ≪ min{m, n}, CoR-UTV requires a few passes over the data, and runs in O(mnk) floating-point operations. Furthermore, CoR-UTV can exploit modern computational platforms and, consequently, can be optimized for maximum efficiency. CoR-UTV is simple and accurate, and outperforms reported alternative methods in terms of efficiency and accuracy. Simulations with synthetic data as well as real data in image reconstruction and robust principal component analysis applications support our claims.
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