Study of Compressed Randomized UTV Decompositions for Low-Rank Matrix Approximations in Data Science (1906.04572v1)

Abstract: In this work, 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 is proposed. CoR-UTV computes an approximation to a low-rank input matrix by making use of random sampling schemes. Given a large and dense matrix of size $m\times n$ with numerical rank $k$, where $k \ll \text{min} {m,n}$, 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 can be optimized for maximum efficiency. CoR-UTV is also applied for solving robust principal component analysis problems. Simulations show that CoR-UTV outperform existing approaches.