Algorithm xxx: Faster Randomized SVD with Dynamic Shifts
ACM Transactions on Mathematical Software(2024)
摘要
Aiming to provide a faster and convenient truncated SVD algorithm for large
sparse matrices from real applications (i.e. for computing a few of largest
singular values and the corresponding singular vectors), a dynamically shifted
power iteration technique is applied to improve the accuracy of the randomized
SVD method. This results in a dynamic shifts based randomized SVD (dashSVD)
algorithm, which also collaborates with the skills for handling sparse
matrices. An accuracy-control mechanism is included in the dashSVD algorithm to
approximately monitor the per vector error bound of computed singular vectors
with negligible overhead. Experiments on real-world data validate that the
dashSVD algorithm largely improves the accuracy of randomized SVD algorithm or
attains same accuracy with fewer passes over the matrix, and provides an
efficient accuracy-control mechanism to the randomized SVD computation, while
demonstrating the advantages on runtime and parallel efficiency. A bound of the
approximation error of the randomized SVD with the shifted power iteration is
also proved.
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