Abstract

Low rank approximation of large and/or sparse matrices is important in many applications. We show that good low rank matrix approximations can be directly obtained from the Lanczos bidiagonalization process without computing singular value decomposition. We also demonstrate that a so-called one-sided reorthogonalization process can be used to maintain adequate level of orthogonality among the Lanczos vectors and produce accurate low rank approximations. This technique reduces the computational cost of the Lanczos bidiagonalization process. We illustrate the efficiency and applicability of our algorithm using numerical examples from several applications areas.

Citations