Dynamical Low‐Rank Approximation

For the low-rank approximation of time-dependent data matrices and of solutions to matrix differential equations, an increment-based computational approach is proposed and analyzed. In this method, the derivative is projected onto the tangent space of the manifold of rank-$r$ matrices at the current...

Full description

Saved in:
Bibliographic Details
Published in:SIAM journal on matrix analysis and applications 2007-01, Vol.29 (2), p.434-454
Main Authors: Koch, Othmar, Lubich, Christian
Format: Article
Language:English
Subjects:
Approximation
Decomposition
Information retrieval
Regularization methods
Values
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:For the low-rank approximation of time-dependent data matrices and of solutions to matrix differential equations, an increment-based computational approach is proposed and analyzed. In this method, the derivative is projected onto the tangent space of the manifold of rank-$r$ matrices at the current approximation. With an appropriate decomposition of rank-$r$ matrices and their tangent matrices, this yields nonlinear differential equations that are well suited for numerical integration. The error analysis compares the result with the pointwise best approximation in the Frobenius norm. It is shown that the approach gives locally quasi-optimal low-rank approximations. Numerical experiments illustrate the theoretical results.
ISSN:0895-4798
1095-7162
DOI:10.1137/050639703