Block Power Method for SVD Decomposition
نویسنده
چکیده
We present in this paper a new method to determine the k largest singular values and their corresponding singular vectors for real rectangular matrices A ∈ Rn×m. Our approach is based on using a block version of the Power Method to compute an k-block SV D decomposition: Ak = UkΣkV T k , where Σk is a diagonal matrix with the k largest non-negative, monotonically decreasing diagonal σ1 ≥ σ2 · · · ≥ σk. Uk and Vk are orthogonal matrices whose columns are the left and right singular vectors of the k largest singular values. This approach is more efficient as there is no need of calculation of all singular values. The QR method is also presented to obtain the SV D decomposition.
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