rsvd: Randomized Singular Value Decomposition (rsvd).

Description Usage Arguments Details Value Note Author(s) References See Also Examples

View source: R/rsvd.R

Description

The randomized SVD computes the near-optimal low-rank approximation of a rectangular matrix using a fast probablistic algorithm.

Usage

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rsvd(A, k = NULL, nu = NULL, nv = NULL, p = 10, q = 2,
  sdist = "normal")

Arguments

A

array_like;
a real/complex (m, n) input matrix (or data frame) to be decomposed.

k

integer;
specifies the target rank of the low-rank decomposition. k should satisfy k << min(m,n).

nu

integer, optional;
number of left singular vectors to be returned. nu must be between 0 and k.

nv

integer, optional;
number of right singular vectors to be returned. nv must be between 0 and k.

p

integer, optional;
oversampling parameter (by default p=10).

q

integer, optional;
number of additional power iterations (by default q=2).

sdist

string c( 'unif', 'normal', 'rademacher'), optional;
specifies the sampling distribution of the random test matrix:
'unif' : Uniform '[-1,1]'.
'normal' (default) : Normal '~N(0,1)'.
'rademacher' : Rademacher random variates.

Details

The singular value decomposition (SVD) plays an important role in data analysis, and scientific computing. Given a rectangular (m,n) matrix A, and a target rank k << min(m,n), the SVD factors the input matrix A as

A = U diag(d) t(V)

The k left singular vectors are the columns of the real or complex unitary matrix U. The k right singular vectors are the columns of the real or complex unitary matrix V. The k dominant singular values are the entries of d, and non-negative and real numbers.

p is an oversampling parameter to improve the approximation. A value of at least 10 is recommended, and p=10 is set by default.

The parameter q specifies the number of power (subspace) iterations to reduce the approximation error. The power scheme is recommended, if the singular values decay slowly. In practice, 2 or 3 iterations achieve good results, however, computing power iterations increases the computational costs. The power scheme is set to q=2 by default.

If k > (min(n,m)/4), a deterministic partial or truncated svd algorithm might be faster.

Value

rsvd returns a list containing the following three components:

d

array_like;
singular values; vector of length (k).

u

array_like;
left singular vectors; (m, k) or (m, nu) dimensional array.

v

array_like;
right singular vectors; (n, k) or (n, nv) dimensional array.

Note

The singular vectors are not unique and only defined up to sign (a constant of modulus one in the complex case). If a left singular vector has its sign changed, changing the sign of the corresponding right vector gives an equivalent decomposition.

Author(s)

N. Benjamin Erichson, [email protected]

References

See Also

svd, rpca

Examples

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library('rsvd')

# Create a n x n Hilbert matrix of order n,
# with entries H[i,j] = 1 / (i + j + 1).
hilbert <- function(n) { i <- 1:n; 1 / outer(i - 1, i, "+") }
H <- hilbert(n=50)

# Low-rank (k=10) matrix approximation using rsvd
k=10
s <- rsvd(H, k=k)
Hre <- s$u %*% diag(s$d) %*% t(s$v) # matrix approximation
print(100 * norm( H - Hre, 'F') / norm( H,'F')) # percentage error
# Compare to truncated base svd
s <- svd(H)
Hre <- s$u[,1:k] %*% diag(s$d[1:k]) %*% t(s$v[,1:k]) # matrix approximation
print(100 * norm( H - Hre, 'F') / norm( H,'F')) # percentage error

Benli11/rSVD documentation built on Nov. 6, 2018, 10:46 p.m.