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Randolph E. Bank
Philip E. Gill
Michael Holst

Administrative Contact:
Terry Le

Office: AP&M 7431
Phone: (858)534-9813
Fax: (858)534-5273
E-mail: tele@ucsd.edu
Limited Memory Subspace Acceleration for Computing Dominant Singular Values and Vectors

Xin Liu
Chinese Academy of Sciences


Many data-related applications utilize principal component analysis and/or data dimension reduction techniques that require efficiently computing dominant part of singular value decompositions (SVD) of very large matrices which are also very dense. In our talk, we introduce a limited memory block krylov subspace optimization method which remarkablely accelerate the traditional simultaneous iteration scheme. We present extensive numerical results comparing the algorithm with some state-of-the-art SVD solvers. Our tests indicate that the proposed method can provide better performance over a range of dense problem classes under the MATLAB environment. We also present some convergence properties of our algorithm.

Tuesday, April 5, 2011
11:00AM AP&M 2402