Hierarchical Singular Value Decomposition of Tensors

• Authors: Lars Grasedyck
• Venue: SIAM Journal on Matrix Analysis and Applications
• Year: 2010

We define the hierarchical singular value decomposition (SVD) for tensors of order $d\geq2$. This hierarchical SVD has properties like the matrix SVD (and collapses to the SVD in $d=2$), and we prove these. In particular, one can find low rank (almost) best approximations in a hierarchical format ($\mathcal{H}$-Tucker) which requires only $\mathcal{O}((d-1)k^3+dnk)$ parameters, where $d$ is the order of the tensor, $n$ the size of the modes, and $k$ the (hierarchical) rank. The $\mathcal{H}$-Tucker format is a specialization of the Tucker format and it contains as a special case all (canonical) rank $k$ tensors. Based on this new concept of a hierarchical SVD we present algorithms for hierarchical tensor calculations allowing for a rigorous error analysis. The complexity of the truncation (finding lower rank approximations to hierarchical rank $k$ tensors) is in $\mathcal{O}((d-1)k^4+dnk^2)$ and the attainable accuracy is just 2-3 digits less than machine precision.