Randomized low‐rank approximation of parameter‐dependent matrices

Abstract

This work considers the low‐rank approximation of a matrix depending on a parameter in a compact set . Application areas that give rise to such problems include computational statistics and dynamical systems. Randomized algorithms are an increasingly popular approach for performing low‐rank approximation and they usually proceed by multiplying the matrix with random dimension reduction matrices (DRMs). Applying such algorithms directly to would involve different, independent DRMs for every , which is not only expensive but also leads to inherently non‐smooth approximations. In this work, we propose to use constant DRMs, that is, is multiplied with the same DRM for every . The resulting parameter‐dependent extensions of two popular randomized algorithms, the randomized singular value decomposition and the generalized Nyström method, are computationally attractive, especially when admits an affine linear decomposition with respect to . We perform a probabilistic analysis for both algorithms, deriving bounds on the expected value as well as failure probabilities for the approximation error when using Gaussian random DRMs. Both, the theoretical results and numerical experiments, show that the use of constant DRMs does not impair their effectiveness; our methods reliably return quasi‐best low‐rank approximations.