Least upper bound of truncation error of low-rank matrix approximation algorithm using QR decomposition with pivoting
AbstractLow-rank approximation by QR decomposition with pivoting (pivoted QR) is known to be less accurate than singular value decomposition (SVD); however, the calculation amount is smaller than that of SVD. The least upper bound of the ratio of the truncation error, defined by $$\Vert A-BC\Vert _2$$ ‖ A - B C ‖ 2 , using pivoted QR to that using SVD is proved to be $$\sqrt{\frac{4^k-1}{3}(n-k)+1}$$ 4 k - 1 3 ( n - k ) + 1 for $$A\in {\mathbb {R}}^{m\times n}$$ A ∈ R m × n $$(m\ge n)$$ ( m ≥ n ) , approximated as a product of $$B\in {\mathbb {R}}^{m\times k}$$ B ∈ R m × k and $$C\in {\mathbb {R}}^{k\times n}$$ C ∈ R k × n in this study.