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Deterministic SVD-partition error bound for the range finder

Statement

Let A∈Fm×n, k≥1, and k<ℓ≤min⁡(m,n). Partition an n×ℓ matrix Ω in right-singular-vector coordinates as V∗Ω=[Ω1T Ω2T]T, where Ω1∈Fk×ℓ has full row rank. If Q is any orthonormal basis of Ran⁡(AΩ), then ∥(I−QQ∗)A∥2≤σk+1+∥Σ2Ω2Ω1†∥2, where A=UΣV∗ is an SVD, Σ2 is the trailing block, and σk+1=0 when fewer than k+1 singular values are positive. No inverse of the leading singular-value block is used, so this includes rank⁡(A)<k.

Facts & Assumptions

Given: A finite real or complex matrix, k<ℓ≤min⁡(m,n), a sketch whose top block has full row rank, and an orthonormal basis of its range.

[F1]

Every finite-dimensional real or complex linear map has an SVD with ordered singular values (Every linear map between finite-dimensional real or complex inner product spaces admits a singular value decomposition).

[F2]

The range-finder forms Y=AΩ and returns an orthonormal basis Q of Ran⁡(Y) (Exact Gaussian randomized range finder).

[F3]

The operator norm is the maximum of ∥Tx∥ over unit vectors (The operator norm is zero on the zero domain and otherwise is max_{||v||=1} ||Tv||); unitary invariance follows directly because unitary maps preserve unit vectors.

Proof

1.1F1F2F3choose

Choose the SVD from [F1] and set Ω~=V∗Ω=[Ω1T Ω2T]T. Left multiplication by U∗ carries the sample range to Ran⁡(ΣΩ~), preserves the operator norm because it maps unit vectors bijectively to unit vectors by [F3], and carries QQ∗ to the orthogonal projector P onto that range. It suffices to prove the estimate for Σ.

2.1step 1.1givenalgebra

Since Ω1 has full row rank, put Ω1†=Ω1∗(Ω1Ω1∗)−1, so Ω1Ω1†=Ik. Let Y=Σ[Ω1T Ω2T]T and C=YΩ1†[Ik 0]. The range of C lies in Ran⁡(Y), hence (I−P)C=0.

3.1step 2.1F1F3F4algebra∎

The first k rows of Σ−C vanish because Ω1Ω1†=Ik, and the remaining rows form [−Σ2Ω2Ω1†  Σ2]. Thus ∥(I−P)Σ∥2=∥(I−P)(Σ−C)∥2≤∥Σ−C∥2≤∥Σ2Ω2Ω1†∥2+∥Σ2∥2: the horizontal block is a sum of two zero-padded blocks, so the triangle inequality applies. By [F1] and [F4], ∥Σ2∥2=σk+1, including zero-tail and rank-deficient cases.

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