Randomized Generalized Singular Value Decomposition

Abstract

The generalized singular value decomposition (GSVD) of two matrices with the same number of columns is a very useful tool in many practical applications. However, the GSVD may suffer from heavy computational time and memory requirement when the scale of the matrices is quite large. In this paper, we use random projections to capture the most of the action of the matrices and propose randomized algorithms for computing a low-rank approximation of the GSVD. Serval error bounds of the approximation are also presented for the proposed randomized algorithms. Finally, some experimental results show that the proposed randomized algorithms can achieve a good accuracy with less computational cost and storage requirement.

Funding

National Natural Science Foundation of China(No.11701409)