论文标题
悬浮矩阵因子化和低级别近似值的随机投影
Randomized Projection for Rank-Revealing Matrix Factorizations and Low-Rank Approximations
论文作者
论文摘要
远程浏览矩阵分解为矩阵的光谱分析提供了必不可少的工具,包括奇异值分解(SVD)和相关的低级别近似技术。具有枢轴列(QRCP)的QR通常适合这些目的,但比未分散的QR算法要慢得多。对于大型矩阵,性能的差异是由于处理器和缓慢内存之间的通信增加所致,QRCP需要在分解过程中选择枢轴。我们的主要算法,带有列枢轴(RQRCP)的随机QR,使用随机投影来从较小的样本矩阵中做出枢轴决策,我们可以构造以比原始矩阵更快地驻留在存储器中。该技术可以理解为交易大大减少了沟通,以控制决策过程中不确定性的增加。为了进行排名的目的,RQRCP中的选择机制产生的结果与标准算法的质量相同,但其性能接近未分明的QR(通常是大型矩阵的速度更快的数量级)。我们还提出了两个公式,以促进进一步的改进。第一个有效更新样品矩阵,以避免计算新的随机预测。第二个避免在截短的低级近似值中分解过程中进行大型尾随更新。我们的RQRCP截断版本还提供了截断的SVD近似TuxV中的关键初始步骤。这些进步为大型矩阵因素化开辟了一个新的绩效领域,该领域将支持有效的问题解决技术,以挑战科学,工程和数据分析中的应用。
Rank-revealing matrix decompositions provide an essential tool in spectral analysis of matrices, including the Singular Value Decomposition (SVD) and related low-rank approximation techniques. QR with Column Pivoting (QRCP) is usually suitable for these purposes, but it can be much slower than the unpivoted QR algorithm. For large matrices, the difference in performance is due to increased communication between the processor and slow memory, which QRCP needs in order to choose pivots during decomposition. Our main algorithm, Randomized QR with Column Pivoting (RQRCP), uses randomized projection to make pivot decisions from a much smaller sample matrix, which we can construct to reside in a faster level of memory than the original matrix. This technique may be understood as trading vastly reduced communication for a controlled increase in uncertainty during the decision process. For rank-revealing purposes, the selection mechanism in RQRCP produces results that are the same quality as the standard algorithm, but with performance near that of unpivoted QR (often an order of magnitude faster for large matrices). We also propose two formulas that facilitate further performance improvements. The first efficiently updates sample matrices to avoid computing new randomized projections. The second avoids large trailing updates during the decomposition in truncated low-rank approximations. Our truncated version of RQRCP also provides a key initial step in our truncated SVD approximation, TUXV. These advances open up a new performance domain for large matrix factorizations that will support efficient problem-solving techniques for challenging applications in science, engineering, and data analysis.