A Schur Method for Low-Rank Matrix Approximation

The usual way to compute a low-rank approximant of a matrix H is to take its singular value decomposition (SVD) and truncate it by setting the small singular values equal to 0. However, the SVD is computationally expensive. This paper describes a much simpler generalized Schur-type algorithm to compute similar low-rank approximants. For a given matrix H which has d singular values larger than ε, we find all rank d approximants Ĥ such that H − Ĥ has 2-norm less than ε. The set of approximants includes the truncated SVD approximation. The advantages of the Schur algorithm are that it has a much lower computational complexity (similar to a QR factorization), and directly produces a description of the column space of the approximants. This column space can be updated and downdated in an on-line scheme, amenable to implementation on a parallel array of processors.