On the convergence of Stewart's QLP algorithm for approximating the SVD

David A. Huckaby, Tony F. Chan*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

The pivoted QLP decomposition, introduced by Stewart [20], represents the first two steps in an algorithm which approximates the SVD. The matrix A ∏0 is first factored as A ∏0 = QR, and then the matrix RT1 is factored as RT1 = PLT, resulting in A = Q∏1LP T0 T,with Q and P orthogonal, L lower-triangular, and ∏0 and ∏1 permutation matrices. Stewart noted that the diagonal elements of L approximate the singular values of A with surprising accuracy. In this paper, we provide mathematical justification for this phenomenon. If there is a gap between σk and σk+1, partition the matrix L into diagonal blocks L11 and L22 and off-diagonal block L 21, where L11 is k-by-k. We show that the convergence of (σj(L11)-1j -1)/σj -1 for j = 1, . . ., k, and of (σj(L22)-σk+j)/σ k+j, for j = 1, . . . , n-k, are allquadratic in the gap ratio σk+1k. The worst case is therefore at the gap, where the absolute errors ||L11 -1|| - σ k -1 and ||L22|| - σk+1 cubic in σk -1 and σk+1, respectively. One order of convergence is due to the rank-revealing pivoting in the first step; then, because of the pivoting in the first step, two more orders are achieved in the second step. Our analysis assumes that ∏1 = I, that is, that pivoting is done only on the first step. Although our results explain some of the properties of the pivoted QLP decomposition, they hypothesize a gap in the singular values. However, a simple example shows that the decomposition can perform well even in the absence of a gap. Thus there is more to explain, and we hope that our paper encourages others to tackle the problem. The QLP algorithm can be continued beyond the first two steps, and we make some observations concerning the asymptotic convergence. For example, we point out that repeated singular values can accelerate convergence of individual elements. This, in addition to the relative convergence to all of the singular values being quadratic in the gap ratio, further indicates that the QLP decomposition can be powerful even when the ratios between neighboring singular values are close to one.

Original languageEnglish (US)
Pages (from-to)287-316
Number of pages30
JournalNumerical Algorithms
Volume32
Issue number2-4
DOIs
StatePublished - Apr 1 2003
Externally publishedYes

Keywords

  • Pivoted QLP decomposition
  • QLP
  • QR
  • Singular values
  • SVD

ASJC Scopus subject areas

  • Applied Mathematics

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