An experimental evaluation of a Monte-Carlo algorithm for singular value decomposition

  • Authors:
  • Petros Drineas;Eleni Drinea;Patrick S. Huggins

  • Affiliations:
  • Yale University, Computer Science Department, New Haven, CT;Harvard University, Division of Engineering and Applied Sciences, Cambridge, MA;Yale University, Computer Science Department, New Haven, CT

  • Venue:
  • PCI'01 Proceedings of the 8th Panhellenic conference on Informatics
  • Year:
  • 2001

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Abstract

We demonstrate that an algorithm proposed by Drineas et. al. in [7] to approximate the singular vectors/values ofa matrix A, is not only oft heoretical interest but also a fast, viable alternative to traditional algorithms. The algorithm samples a small number ofro ws (or columns) oft he matrix, scales them appropriately to form a small matrix S and computes the singular value decomposition (SVD) of S, which is a good approximation to the SVD ofthe original matrix. We experimentally evaluate the accuracy and speed oft his randomized algorithm using image matrices and three different sampling schemes. Our results show that our approximations oft he singular vectors of A span almost the same space as the corresponding exact singular vectors of A.