期刊
SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS
卷 39, 期 2, 页码 567-586出版社
SIAM PUBLICATIONS
DOI: 10.1137/16M1091745
关键词
singular value decomposition; least squares; principal angles; gap-amplifying polynomials; random matrices
资金
- NSF [IIS-1302231, IIS-1447283, IIS-1124827]
- XDATA Program of the Defense Advanced Research Projects Agency (DARPA) [FA8750-12-C-0323]
- Army Research Laboratory [W911NF-09-2-0053]
This paper is concerned with approximating the dominant left singular vector space of a real matrix A of arbitrary dimension, from block Krylov spaces generated by the matrix AA(T) and the block vector AX. Two classes of results are presented. First are bounds on the distance, in the two- and Frobenius norms, between the Krylov space and the target space. The distance is expressed in terms of principal angles. Second are bounds for the low-rank approximation computed from the Krylov space compared to the best low-rank approximation, in the two- and Frobenius norms. For starting guesses X of full column-rank, the bounds depend on the tangent of the principal angles between X and the dominant right singular vector space of A. The results presented here form the structural foundation for the analysis of randomized Krylov space methods. The innovative feature is a combination of traditional Lanczos convergence analysis with optimal approximations via least squares problems.
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