论文标题
随机Cholesky QR因素化
Randomized Cholesky QR factorizations
论文作者
论文摘要
本文提出并分析了矩阵$ x $的随机Cholesky QR分解的几种变体。我们没有像标准方法那样从$ x^t x $计算R因子,而是从$ x $的小型,有效的随机草图中获取,从而节省了计算成本并提高了数值稳定性。随机Cholesky QR的拟议直接变体仅需要一半的拖鞋,并且与经典的Cholesky QR相同的通信成本。同时,它更强大,因为每当输入矩阵在数字上是全级时,它可以保证会稳定。重新浏览排名的随机Cholesky QR变体具有$ x $线性依赖的列的能力,该列允许具有无条件的数值稳定性,并在$ x $排名不足时降低计算成本。我们还描述了一个面向柱的随机Cholesky QR,该QR与随机的革兰氏schmidt过程建立了连接,以及一个减少的变体,该变体输出了Q因子的低维投影,而不是全部因素,因此可以产生大幅度的计算节省。结果表明,在提出的算法中以较高精度执行次要操作可以使工作单元的圆形允许稳定性,而与主要的矩阵维度无关。对于低精度体系结构上高质矩阵的QR分解,此功能可能特别感兴趣。
This article proposes and analyzes several variants of the randomized Cholesky QR factorization of a matrix $X$. Instead of computing the R factor from $X^T X$, as is done by standard methods, we obtain it from a small, efficiently computable random sketch of $X$, thus saving computational cost and improving numerical stability. The proposed direct variant of the randomized Cholesky QR requires only half the flops and the same communication cost as the classical Cholesky QR. At the same time, it is more robust since it is guaranteed to be stable whenever the input matrix is numerically full-rank. The rank-revealing randomized Cholesky QR variant has the ability to sort out the linearly dependent columns of $X$, which allows to have an unconditional numerical stability and reduce the computational cost when $X$ is rank-deficient. We also depict a column-oriented randomized Cholesky QR that establishes the connection with the randomized Gram-Schmidt process, and a reduced variant that outputs a low-dimensional projection of the Q factor rather than the full factor and therefore yields drastic computational savings. It is shown that performing minor operations in higher precision in the proposed algorithms can allow stability with working unit roundoff independent of the dominant matrix dimension. This feature may be of particular interest for a QR factorization of tall-and-skinny matrices on low-precision architectures.