Structural Convergence Results for Low-Rank Approximations from Block Krylov Spaces.
Petros Drineas, Ilse C. F. Ipsen, Eugenia-Maria Kontopoulou, Malik Magdon‐Ismail · arXiv (Cornell University) · 2016
This paper is concerned with approximating the dominant left singular vector space of a real matrix $A$ of arbitrary dimension, from block Krylov spaces $\mathcal{K}_q(AA^T,AX)$. Two classes of results are presented. First are bounds on the distance, in the two and Frobenius norms, between the Krylov space and the target space. The distance is expressed in terms of principal angles. Second are quality of approximation bounds, relative to the best low-rank approximation in the Frobenius norm. For starting guesses $X$ of full column-rank, the bounds depend on the tangent of the principal angles between $X$ and the dominant right singular vector space of $A$. The results presented here form the structural foundation for the analysis of randomized Krylov space methods. The innovative feature is a combination of traditional Lanczos convergence analysis with optimal low-rank approximations via least squares problems.