This Julia package provides fast low-rank approximation algorithms for BLAS/LAPACK-compatible matrices based on some of the latest technology in adaptive randomized matrix sketching. Currently implemented algorithms include:

- sketch methods:
- random Gaussian
- random subset
- subsampled random Fourier transform
- sparse random Gaussian

- partial range finder
- partial factorizations:
- QR decomposition
- interpolative decomposition
- singular value decomposition
- Hermitian eigendecomposition
- CUR decomposition

- spectral norm estimation

By "partial", we mean essentially that these algorithms are early-terminating, i.e., they are not simply post-truncated versions of their standard counterparts. There is also support for "matrix-free" linear operators described only through their action on vectors. All methods accept a number of options specifying, e.g., the rank, estimated absolute precision, and estimated relative precision of approximation.

Our implementation borrows heavily from the perspective espoused by N. Halko, P.G. Martinsson, J.A. Tropp. Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions. SIAM Rev. 53 (2): 217-288, 2011., except that we choose the interpolative decomposition (ID) as our basic form of approximation instead of matrix range projection. The reason is that the latter requires expensive matrix-matrix multiplication to contract to the relevant subspace, while the former can sometimes be computed much faster, depending on the accelerated sketching strategy employed.

This package has been developed with performance in mind, and early tests have shown large speedups over similar codes written in MATLAB and Python (and even some in Fortran and C). For example, computing an ID of a Hilbert matrix of order 1024 to relative precision ~1e-15 takes:

- ~0.02 s using LowRankApprox in Julia
- ~0.07 s using SciPy in Python (calling a Fortran backend; see PyMatrixID)
- ~0.3 s in MATLAB

This difference can be attributed in part to both algorithmic improvements as well as to some low-level optimizations.

- Installation
- Getting Started
- Low-Rank Factorizations
- Sketch Methods
- Other Capabilities
- Core Algorithm
- Options
- Computational Complexity

To install LowRankApprox, simply type:

```
Pkg.add("LowRankApprox")
```

at the Julia prompt. The package can then be imported as usual with `using`

or `import`

.

To illustrate the usage of this package, let's consider the computation of a partial QR decomposition of a Hilbert matrix, which is well known to have low rank. First, we load LowRankApprox via:

```
using LowRankApprox
```

Then we construct a Hilbert matrix with:

```
n = 1024
A = matrixlib(:hilb, n, n)
```

A partial QR decomposition can then be computed using:

```
F = pqrfact(A)
```

This returns a `PartialQR`

factorization with variables `Q`

, `R`

, and `p`

denoting the unitary, trapezoidal, and permutation factors, respectively, constituting the decomposition. Alternatively, these can be extracted directly with:

```
Q, R, p = pqr(A)
```

but the factorized form is often more convenient as it also implements various arithmetic operations. For example, the commands:

```
x = rand(n)
y = F *x
z = F'*x
```

automatically invoke specialized multiplication routines to rapidly compute `y`

and `z`

using the low-rank structure of `F`

.

The rank of the factorization can be retrieved by `F[:k]`

, which in this example usually gives 26 or 27. The reason for this variability is that the default interface uses randomized Gaussian sketching for acceleration. Likewise, the actual approximation error is also random but can be efficiently and robustly estimated:

```
aerr = snormdiff(A, F)
rerr = aerr / snorm(A)
```

This computes the absolute and relative errors in the spectral norm using power iteration. Here, the relative error achieved should be on the order of machine epsilon. (You may see a warning about exceeding the iteration limit, but this is harmless in this case.)

The default interface requests ~1e-15 estimated relative precision. To request, say, only 1e-12 relative precision, use:

```
F = pqrfact(A, rtol=1e-12)
```

which returns a factorization of rank ~22. We can also directly control the rank instead with, e.g.:

```
F = pqrfact(A, rank=20)
```

Using both together as in:

```
F = pqrfact(A, rank=20, rtol=1e-12)
```

sets two separate termination criteria: one on reaching rank 20 and the other on achieving estimated relative precision 1e-12---with the computation completing upon either of these being fulfilled. Many other options are available as well. All keyword arguments can also be encapsulated into an `LRAOptions`

type for convenience. For example, we can equivalently write the above as:

```
opts = LRAOptions(rank=20, rtol=1e-12)
F = pqrfact(A, opts)
```

For further details, see the Options section.

All aforementioned considerations also apply when the input is a linear operator, i.e., when the matrix is described not by its entries but by its action on vectors. To demonstrate, we can convert `A`

to type `LinearOperator`

as follows:

```
L = LinearOperator(A)
```

which inherits and stores methods for applying the matrix and its adjoint. (This command actually recognizes `A`

as Hermitian and forms `L`

as a `HermitianLinearOperator`

.) A partial QR decomposition can then be computed with:

```
F = pqrfact(L)
```

just as in the previous case. Of course, there is no real benefit to doing so in this particular example; the advantage comes when considering complicated matrix products that can be represented implicitly as a single `LinearOperator`

. For instance, `A*A`

can be represented as `L*L`

without ever forming the resultant matrix explicitly, and we can even encapsulate entire factorizations as linear operators to exploit fast multiplication:

```
L = LinearOperator(F)
```

Linear operators can be scaled, added, and composed together using the usual syntax. All methods in LowRankApprox transparently support both matrices and linear operators.

We now detail the various low-rank approximations implemented, which all nominally return compact `Factorization`

types storing the matrix factors in structured form. All such factorizations provide optimized multiplication routines. Furthermore, the rank of any factorization `F`

can be queried with `F[:k]`

and the matrix approximant defined by `F`

can be reconstructed as `full(F)`

. For concreteness of exposition, assume in the following that `A`

has size `m`

by `n`

with factorization rank `F[:k] = k`

. Note that certain matrix identities below should be interpreted only as equalities up to the approximation precision.

A partial QR decomposition is a factorization `A[:,p] = Q*R`

, where `Q`

is `m`

by `k`

with orthonormal columns, `R`

is `k`

by `n`

and upper trapezoidal, and `p`

is a permutation vector. Such a decomposition can be computed with:

```
F = pqrfact(A, args...)
```

or more explicitly with:

```
Q, R, p = pqr(A, args...)
```

The former returns a `PartialQR`

factorization with access methods:

`F[:Q]`

:`Q`

factor as type`Matrix`

`F[:R]`

:`R`

factor as type`UpperTrapezoidal`

`F[:p]`

:`p`

permutation as type`Vector`

`F[:P]`

:`p`

permutation as type`ColumnPermutation`

Both `F[:R]`

and `F[:P]`

are represented as structured matrices, complete with their own arithmetic operations, and together permit the alternative approximation formula `A*F[:P] = F[:Q]*F[:R]`

. The factorization form additionally supports least squares solution by left-division.

We can also compute a partial QR decomposition of `A'`

(that is, pivoting on rows instead of columns) without necessarily constructing the matrix transpose explicitly by writing:

```
F = pqrfact(:c, A, args...)
```

and similarly with `pqr`

. The default interface is equivalent to, e.g.:

```
F = pqrfact(:n, A, args...)
```

for "no transpose". It is also possible to generate only a subset of the partial QR factors for further efficiency; see Options.

The above methods do not modify the input matrix `A`

and may make a copy of the data in order to enforce this (whether this is actually necessary depends on the type of input and the sketch method used). Potentially more efficient versions that reserve the right to overwrite `A`

are available as `pqrfact!`

and `pqr!`

, respectively.

The ID is based on the approximation `A[:,rd] = A[:,sk]*T`

, where `sk`

is a set of `k`

"skeleton" columns, `rd`

is a set of `n - k`

"redundant" columns, and `T`

is a `k`

by `n - k`

interpolation matrix. It follows that `A[:,p] = C*V`

, where `p = [sk; rd]`

, `C = A[:,sk]`

, and `V = [eye(k) T]`

. An ID can be computed by:

```
V = idfact(A, args...)
```

or:

```
sk, rd, T = id(A, args...)
```

Here, `V`

is of type `IDPackedV`

and defines the `V`

factor above but can also implicitly represent the entire ID via:

`V[:sk]`

:`sk`

columns as type`Vector`

`V[:rd]`

:`rd`

columns as type`Vector`

`V[:p]`

:`p`

permutation as type`Vector`

`V[:P]`

:`p`

permutation as type`ColumnPermutation`

`V[:T]`

:`T`

factor as type`Matrix`

To actually produce the ID itself, use:

```
F = ID(A, V)
```

or:

```
F = ID(A, sk, rd, T)
```

which returns an `ID`

factorization that can be directly compared with `A`

. This factorization has access methods:

`F[:C]`

:`C`

factor as type`Matrix`

`F[:V]`

:`V`

factor as type`IDPackedV`

in addition to those defined for `IDPackedV`

.

As with the partial QR decomposition, an ID can be computed for `A'`

instead (that is, finding skeleton rows as opposed to columns) in the same way, e.g.:

```
V = idfact(:c, A, args...)
```

The default interface is equivalent to passing `:n`

as the first argument. Moreover, modifying versions of the above are available as `idfact!`

and `id!`

.

A partial SVD is a factorization `A = U*S*V'`

, where `U`

and `V`

are `m`

by `k`

and `n`

by `k`

, respectively, both with orthonormal columns, and `S`

is `k`

by `k`

and diagonal with nonincreasing nonnegative real entries. It can be computed with:

```
F = psvdfact(A, args...)
```

or:

```
U, S, V = psvd(A, args...)
```

The factorization is of type `PartialSVD`

and has access methods:

`F[:U]`

:`U`

factor as type`Matrix`

`F[:S]`

:`S`

factor as type`Vector`

`F[:V]`

:`V`

factor as type`Matrix`

`F[:Vt]`

:`V'`

factor as type`Matrix`

Note that the underlying SVD routine forms `V'`

as output, so `F[:Vt]`

is easier to extract than `F[:V]`

. Least squares solution is also supported using left-division. Furthermore, if just the singular values are required, then we can use:

```
S = psvdvals(A, args...)
```

A partial Hermitian eigendecomposition of an `n`

by `n`

Hermitian matrix `A`

is a factorization `A = U*S*U'`

, where `U`

is `n`

by `k`

with orthonormal columns and `S`

is `k`

by `k`

and diagonal with nondecreasing real entries. It is very similar to a partial Hermitian SVD and can be computed by:

```
F = pheigfact(A, args...)
```

or:

```
values, vectors = pheig(A, args...)
```

where we have followed the Julia convention of letting `values`

denote the eigenvalues comprising `S`

and `vectors`

denote the eigenvector matrix `U`

. The factorization is of type `PartialHermitianEigen`

and has access methods:

`F[:values]`

:`values`

as type`Vector`

`F[:vectors]`

:`vectors`

as type`Matrix`

It also supports least squares solution by left-division. If only the eigenvalues are desired, use instead:

```
values = pheigvals(A, args...)
```

A CUR decomposition is a factorization `A = C*U*R`

, where `C = A[:,cols]`

and `R = A[rows,:]`

consist of `k`

columns and rows, respectively, from `A`

and `U = inv(A[rows,cols])`

. The basis rows and columns can be computed with:

```
U = curfact(A, args...)
```

or:

```
rows, cols = cur(A, args...)
```

The former is of type `CURPackedU`

(or `HermitianCURPackedU`

if `A`

is Hermitian or `SymmetricCURPackedU`

if symmetric) and has access methods:

`U[:cols]`

:`cols`

columns as type`Vector`

`U[:rows]`

:`rows`

rows as type`Vector`

To produce the corresponding CUR decomposition, use:

```
F = CUR(A, U)
```

or:

```
F = CUR(A, rows, cols)
```

which returns a `CUR`

factorization (or `HermitianCUR`

if `A`

is Hermitian or `SymmetricCUR`

if symmetric), with access methods:

`F[:C]`

:`C`

factor as type`Matrix`

`F[:U]`

:`U`

factor as type`Factorization`

`F[:R]`

:`R`

factor as type`Matrix`

in addition to those defined for `CURPackedU`

. If `F`

is of type `HermitianCUR`

, then `F[:R] = F[:C]'`

, while if `F`

has type `SymmetricCUR`

, then `F[:R] = transpose(F[:C])`

. Note that because of conditioning issues, `U`

is not stored explicitly but rather in factored form, nominally as type `SVD`

but practically as `PartialHermitianEigen`

if `U`

has type `HermitianCURPackedU`

or `PartialSVD`

otherwise (for convenient arithmetic operations).

Modifying versions of the above are available as `curfact!`

and `cur!`

.

Matrix sketching is a core component of this package and its proper use is critical for high performance. For an `m`

by `n`

matrix `A`

, a sketch of order `k`

takes the form `B = S*A`

, where `S`

is a `k`

by `m`

sampling matrix (see below). Sketches can similarly be constructed for sampling from the right or for multiplying against `A'`

. The idea is that `B`

contains a compressed representation of `A`

up to rank approximately `k`

, which can then be efficiently processed to recover information about `A`

.

The default sketch method defines `S`

as a Gaussian random matrix. Other sketch methods can be specified using the keyword `sketch`

. For example, setting:

```
opts = LRAOptions(sketch=:srft, args...)
```

or equivalently:

```
opts = LRAOptions(args...)
opts.sketch = :srft
```

then passing to, e.g.:

```
V = idfact(A, opts)
```

computes an ID with sketching via a subsampled random Fourier transform (SRFT). This can also be done more directly with:

```
V = idfact(A, sketch=:srft)
```

A list of supported sketch methods is given below. To disable sketching altogether, use:

```
opts.sketch = :none
```

In addition to its integration with low-rank factorization methods, sketches can also be generated independently by:

```
B = sketch(A, order, args...)
```

Other interfaces include:

`B = sketch(:left, :n, A, order, args...)`

to compute`B = S*A`

`B = sketch(:left, :c, A, order, args...)`

to compute`B = S*A'`

`B = sketch(:right, :n, A, order, args...)`

to compute`B = A*S`

`B = sketch(:right, :c, A, order, args...)`

to compute`B = A'*S`

We also provide adaptive routines to automatically sketch with increasing orders until a specified error tolerance is met, as detected by early termination of an unaccelerated partial QR decomposition. This adaptive sketching forms the basis for essentially all higher-level algorithms in LowRankApprox and can be called with:

```
F = sketchfact(A, args...)
```

Like `sketch`

, a more detailed interface is also available as:

```
F = sketchfact(side, trans, A, args...)
```

The canonical sampling matrix is a Gaussian random matrix with entries drawn independently from the standard normal distribution (or with real and imaginary parts each drawn independently if `A`

is complex). To use this sketch method, set:

```
opts.sketch = :randn
```

There is also support for power iteration to improve accuracy when the spectral gap (up to rank `k`

) is small. This computes, e.g., `B = S*(A*A')^p*A`

(or simply `B = S*A^(p + 1)`

if `A`

is Hermitian) instead of just `B = S*A`

, with all intermediate matrix products orthogonalized for stability.

For generic `A`

, Gaussian sketching has complexity `O(k*m*n)`

. In principle, this can make it the most expensive stage of computing a fast low-rank approximation (though in practice it is still very effective). There is a somewhat serious effort to develop sketch methods with lower computational cost, which is addressed in part by the following techniques.

Perhaps the simplest matrix sketch is just a random subset of rows or columns, with complexity `O(k*m)`

or `O(k*n)`

as appropriate. This can be specified with:

```
opts.sketch = :sub
```

The linear growth in matrix dimension is obviously attractive, but note that this method can fail if the matrix is not sufficiently "regular", e.g., if it contains a few large isolated entries. Random subselection is only implemented for type `AbstractMatrix`

.

An alternative approach based on imposing structure in the sampling matrix is the SRFT, which has the form `S = R*F*D`

(if applying from the left), where `R`

is a random permutation matrix of size `k`

by `m`

, `F`

is the discrete Fourier transform (DFT) of order `m`

, and `D`

is a random diagonal unitary scaling. Due to the DFT structure, this can be applied in only `O(m*n*log(k))`

operations (but beware that the constant is quite high). To use this method, set:

```
opts.sketch = :srft
```

For real `A`

, our SRFT implementation uses only real arithmetic by separately computing real and imaginary parts as in a standard real-to-real DFT. Only `AbstractMatrix`

types are supported.

As a modification of Gaussian sketching, we provide also a "sparse" random Gaussian sampling scheme, wherein `S`

is restricted to have only `O(m)`

or `O(n)`

nonzeros, depending on the dimension to be contracted. Considering the case `B = S*A`

for concreteness, each row of `S`

is taken to be nonzero in only `O(m/k)`

columns, with full coverage of `A`

maintained by evenly spreading these nonzero indices among the rows of `S`

. The complexity of computing `B`

is `O(m*n)`

. Sparse Gaussian sketching can be specified with:

```
opts.sketch = :sprn
```

and is only implemented for type `AbstractMatrix`

. Power iteration is not supported since any subsequent matrix application would devolve back to having `O(k*m*n)`

cost.

We also provide a few other useful relevant algorithms as follows. Let `A`

be an `m`

by `n`

matrix.

A basis for the partial range of `A`

of rank `k`

is an `m`

by `k`

matrix `Q`

with orthonormal columns such that `A = Q*Q'*A`

. Such a basis can be computed with:

```
Q = prange(A, args...)
```

Fast range approximation using sketching is supported.

The default interface computes a basis for the column space of `A`

. To capture the row space instead, use:

```
Q = prange(:c, A, args...)
```

which is equivalent to computing the partial range of `A'`

. The resulting matrix `Q`

is `n`

by `k`

with orthonormal rows and satisfies `A = A*Q*Q'`

. It is also possible to approximate both the row and column spaces simultaneously with:

```
Q = prange(:b, A, args...)
```

Then `A = Q*Q'*A*Q*Q'`

.

A possibly modifying version is available as `prange!`

.

The spectral norm of `A`

can be rapidly computed using randomized power iteration via:

```
err = snorm(A, args...)
```

Similarly, the spectral norm difference of two matrices `A`

and `B`

can be computed with:

```
err = snormdiff(A, B, args...)
```

which admits both a convenient and efficient way to test the accuracy of our low-rank approximations.

The underlying algorithm behind LowRankApprox is the pivoted QR decomposition, with the magnitudes of the pivots providing an estimate of the approximation error incurred at each truncation rank. Here, we use an early-terminating variant of the LAPACK routine GEQP3. The partial QR decomposition so constructed is then leveraged into an ID to support the various other factorizations.

Due to its fundamental importance, we can also perform optional determinant maximization post-processing to obtain a (strong) rank-revealing QR (RRQR) decomposition. This ensures that we select the best column pivots and can further improve numerical precision and stability.

Numerous options are exposed by the `LRAOptions`

type, which we will cover by logical function below.

The accuracy of any low-rank approximation (in the spectral norm) is controlled by the following parameters:

`atol`

: absolute tolerance of approximation (default:`0`

)`rtol`

: relative tolerance of approximation (default:`5*eps()`

)`rank`

: maximum rank of approximation (default:`-1`

)

Each parameter specifies an independent termination criterion; the computation completes when any of them are met. Currently, `atol`

and `rtol`

are checked against QR pivot magnitudes and thus accuracy can only be approximately guaranteed, though the resulting errors should be of the correct order.

Iterative RRQR post-processing is also available:

`maxdet_niter`

: maximum number of iterations for determinant maximization (default:`-1`

)`maxdet_tol`

: relative tolerance for determinant maximization (default:`-1`

)

If `maxdet_tol < 0`

, no post-processing is done; otherwise, as above, each parameter specifies an independent termination criterion. These options have an impact on all factorizations (i.e., not just QR) since they all involve, at some level, approximations based on the QR. For example, computing an ID via an RRQR guarantees that the interpolation matrix `T`

satisfies `maxabs(T) < 1 + maxdet_tol`

(assuming no early termination due to `maxdet_niter`

).

The parameters `atol`

and `rtol`

are also used for the spectral norm estimation routines `snorm`

and `snormdiff`

to specify the requested precision of the (scalar) norm output.

The following parameters govern matrix sketching:

`sketch`

: sketch method, one of`:none`

,`:randn`

(default),`:srft`

,`:sub`

, or`:sprn`

`sketch_randn_niter`

: number of power iterations for Gaussian sketching (default:`0`

)`sketchfact_adap`

: whether to compute a sketched factorization adaptively by successively doubling the sketch order (default:`true`

); if`false`

only takes effect if`rank >= 0`

, in which case a single sketch of order`rank`

is (partially) factorized`sketchfact_randn_samp`

: oversampling function for Gaussian sketching (default:`n -> n + 8`

)`sketchfact_srft_samp`

: oversampling function for SRFT sketching (default:`n -> n + 8`

)`sketchfact_sub_samp`

: oversampling function for subset sketching (default:`n -> 4*n + 8`

)

The oversampling functions take as input a desired approximation rank and return a corresponding sketch order designed to be able to capture it with high probability. No oversampling function is used for sparse random Gaussian sketching due to its special form.

Other available options include:

`nb`

: computational block size, used in various settings (default:`32`

)`pheig_orthtol`

: eigenvalue relative tolerance to identify degenerate subspaces, within which eigenvectors are re-orthonormalized (to combat LAPACK issue; default:`sqrt(eps())`

)`pqrfact_retval`

: string containing keys indicating which outputs to return from`pqrfact`

(default:`"qr"`

)`"q"`

: orthonormal`Q`

matrix`"r"`

: trapezoidal`R`

matrix`"t"`

: interpolation`T`

matrix (for ID)

`snorm_niter`

: maximum number of iterations for spectral norm estimation (default:`32`

)`verb`

: whether to print verbose messages, used sparingly (default:`true`

)

Note that `pqrfact`

always returns the permutation vector `p`

so that no specification is needed in `pqrfact_retval`

. If `pqrfact_retval = "qr"`

(in some order), then the output factorization has type `PartialQR`

; otherwise, it is of type `PartialQRFactors`

, which is simply a container type with no defined arithmetic operations. All keys other than `"q"`

, `"r"`

, and `"t"`

are ignored.

Below, we summarize the leading-order computational costs of each factorization function depending on the sketch type. Assume an input `AbstractMatrix`

of size `m`

by `n`

with numerical rank `k << min(m, n)`

and `O(1)`

cost to compute each entry. Then, first, for a non-adaptive computation (i.e., `k`

is known essentially a priori):

function | none | randn | sub | srft | sprn |
---|---|---|---|---|---|

`pqr` |
`k*m*n` |
`k*m*n` |
`k^2*(m + n)` |
`m*n*log(k)` |
`m*n` |

`id` |
`k*m*n` |
`k*m*n` |
`k^2*n + k*m` |
`m*n*log(k)` |
`m*n` |

`svd` |
`k*m*n` |
`k*m*n` |
`k^2*(m + n)` |
`m*n*log(k)` |
`m*n` |

`pheig` |
`k*m*n` |
`k*m*n` |
`k^2*(m + n)` |
`m*n*log(k)` |
`m*n` |

`cur` |
`k*m*n` |
`k*m*n` |
`k^2*(m + n)` |
`m*n*log(k)` |
`m*n` |

The cost given for the ID is for the default column-oriented version; to obtain the operation count for a row-oriented ID, simply switch the roles of `m`

and `n`

. Note also that `pheig`

is only applicable to square matrices, i.e., `m = n`

.

All of the above remain unchanged for `sketchfact_adap = true`

with the exception of the following, in which case the costs become:

`sketch = :srft`

:`m*n*log(k)^2`

`sketch = :sprn`

:`m*n*log(k)`

uniformly across all functions.

08/24/2015

2 months ago

70 commits