Algorithm 844: Computing sparse reduced-rank approximations to sparse matrices

  • Authors:
  • Michael W. Berry;Shakhina A. Pulatova;G. W. Stewart

  • Affiliations:
  • University of Tennessee, Knoxville, Knoxville, TN;University of Tennessee, Knoxville, Knoxville, TN;University of Maryland, College Park, College Park, MD

  • Venue:
  • ACM Transactions on Mathematical Software (TOMS)
  • Year:
  • 2005

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Abstract

In many applications---latent semantic indexing, for example---it is required to obtain a reduced rank approximation to a sparse matrix A. Unfortunately, the approximations based on traditional decompositions, like the singular value and QR decompositions, are not in general sparse. Stewart [(1999), 313--323] has shown how to use a variant of the classical Gram--Schmidt algorithm, called the quasi--Gram-Schmidt--algorithm, to obtain two kinds of low-rank approximations. The first, the SPQR, approximation, is a pivoted, Q-less QR approximation of the form (XR11−1)(R11 R12), where X consists of columns of A. The second, the SCR approximation, is of the form the form A ≅ XTYT, where X and Y consist of columns and rows A and T, is small. In this article we treat the computational details of these algorithms and describe a MATLAB implementation.