Single-pass randomized QLP decomposition for low-rank approximation

Huan Ren, Zheng-Jian Bai

Published 2020-11-13Version 1

The QLP decomposition is one of the effective algorithms to approximate singular value decomposition (SVD) in numerical linear algebra. In this paper, we propose some single-pass randomized QLP decomposition algorithms for computing the low-rank matrix approximation. Compared with the deterministic QLP decomposition, the complexity of the proposed algorithms does not increase significantly and the system matrix needs to be accessed only once. Therefore, our algorithms are very suitable for a large matrix stored outside of memory or generated by stream data. In the error analysis, we give the bounds of matrix approximation error and singular value approximation error. Numerical experiments also reported to verify our results.