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Deterministic SVD-partition error bound for the range finder
Statement
Let , , and . Partition an matrix in right-singular-vector coordinates as , where has full row rank. If is any orthonormal basis of , then where is an SVD, is the trailing block, and when fewer than singular values are positive. No inverse of the leading singular-value block is used, so this includes .
Facts & Assumptions
Given: A finite real or complex matrix, , a sketch whose top block has full row rank, and an orthonormal basis of its range.
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).
The range-finder forms and returns an orthonormal basis of (Exact Gaussian randomized range finder).
The operator norm is the maximum of 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.
The operator norm equals the largest singular value (The operator norm is 0 on the zero domain and otherwise equals the largest singular value, attained at a right-singular vector).
Proof
Choose the SVD from [F1] and set . Left multiplication by carries the sample range to , preserves the operator norm because it maps unit vectors bijectively to unit vectors by [F3], and carries to the orthogonal projector onto that range. It suffices to prove the estimate for .
Since has full row rank, put , so . Let and . The range of lies in , hence .
The first rows of vanish because , and the remaining rows form . Thus : the horizontal block is a sum of two zero-padded blocks, so the triangle inequality applies. By [F1] and [F4], , including zero-tail and rank-deficient cases.
Depends on
- Exact Gaussian randomized range finder
- Every linear map between finite-dimensional real or complex inner product spaces admits a singular value decomposition
- The operator norm is zero on the zero domain and otherwise is max_{||v||=1} ||Tv||
- The operator norm is 0 on the zero domain and otherwise equals the largest singular value, attained at a right-singular vector
Used by
Dependency tree · two levels
11 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Halko, Martinsson, and Tropp, Finding Structure with Randomness, Theorem 9.1 (standard reference, not scraped)
- Martinsson and Tropp, Randomized Numerical Linear Algebra: Foundations & Algorithms, Theorem 11.4 (standard reference, not scraped)