A Jacobi-Davidson type SVD method

M.E. Hochstenbach

doi:10.1137/S1064827500372973

A Jacobi-Davidson type SVD method

M.E. Hochstenbach

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Abstract

We discuss a new method for the iterative computation of a portion of the singular values and vectors of a large sparse matrix. Similar to the Jacobi--Davidson method for the eigenvalue problem, we compute in each step a correction by (approximately) solving a correction equation. We give a few variants of this Jacobi--Davidson SVD (JDSVD) method with their theoretical properties. It is shown that the JDSVD can be seen as an accelerated (inexact) Newton scheme. We experimentally compare the method with some other iterative SVD methods

Original language	English
Pages (from-to)	606-628
Journal	SIAM Journal on Scientific Computing
Volume	23
Issue number	2
DOIs	https://doi.org/10.1137/S1064827500372973
Publication status	Published - 2001

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abstract = "We discuss a new method for the iterative computation of a portion of the singular values and vectors of a large sparse matrix. Similar to the Jacobi--Davidson method for the eigenvalue problem, we compute in each step a correction by (approximately) solving a correction equation. We give a few variants of this Jacobi--Davidson SVD (JDSVD) method with their theoretical properties. It is shown that the JDSVD can be seen as an accelerated (inexact) Newton scheme. We experimentally compare the method with some other iterative SVD methods",

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AB - We discuss a new method for the iterative computation of a portion of the singular values and vectors of a large sparse matrix. Similar to the Jacobi--Davidson method for the eigenvalue problem, we compute in each step a correction by (approximately) solving a correction equation. We give a few variants of this Jacobi--Davidson SVD (JDSVD) method with their theoretical properties. It is shown that the JDSVD can be seen as an accelerated (inexact) Newton scheme. We experimentally compare the method with some other iterative SVD methods

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JO - SIAM Journal on Scientific Computing

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A Jacobi-Davidson type SVD method

Abstract

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