Truncated SVD Approximation via Kronecker Summations

Professor James Nagy
Abstract


In this talk we describe an approach to approximate the truncated singular value decomposition of a large matrix by first decomposing the matrix into a sum of Kronecker products. Our approach can be used to more efficiently approximate a large number of singular values and vectors than other well known schemes, such as iterative algorithms based on the Golub-Kahan bidiagonalization or randomized matrix algorithms. We provide theoretical results and numerical experiments to demonstrate accuracy of our approximation, and show how the approximation can be used to solve large scale ill-posed inverse problems, either as an approximate filtering method, or as a preconditioner to accelerate iterative algorithms.
 

  • Computational Mathematics and Applications Seminar