A geometric approach to subspace updates and orthogonal matrix decompositions under rank-one modifications
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Abstract:
For a matrix $X\in \mathbb {R}^{n\times p}$, we provide an analytic formula that keeps track of an orthonormal basis for the range of $X$ under rank-one modifications. More precisely, we consider rank-one adaptations $X_{new} = X+ab^T$ of a given $X$ with known matrix factorization $X = UW$, where $U\in \mathbb {R}^{n\times p}$ is column-orthogonal and $W\in \mathbb {R}^{p\times p}$ is invertible. Arguably, the most important methods that produce such factorizations are the singular value decomposition (SVD), where $X=UW=U(\Sigma V^T)$, and the QR-decomposition, where $X = UW = QR$. We give a geometric description of rank-one adaptations and derive a closed-form expression for the geodesic line that travels from the subspace $\mathcal {S}= \textrm {{ran}}(X)$ to the subspace $\mathcal {S}_{new} =\textrm {{ran}}(X_{new}) =\textrm {{ran}}(U_{new}W_{new})$. This leads to update formulas for orthogonal matrix decompositions, where both $U_{new}$ and $W_{new}$ are obtained via elementary rank-one matrix updates in $\mathcal {O}(np)$ time for $n\gg p$. Moreover, this allows us to determine the subspace distance and the Riemannian midpoint between the subspaces $\mathcal {S}$ and $\mathcal {S}_{new}$ without additional computational effort.References
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Additional Information
- Ralf Zimmermann
- Affiliation: Department of Mathematics and Computer Science, University of Southern Denmark (SDU), Campusvej 55, 5230 Odense M Denmark
- MR Author ID: 885859
- ORCID: 0000-0003-1692-3996
- Email: zimmermann@imada.sdu.dk
- Received by editor(s): October 17, 2019
- Received by editor(s) in revised form: March 10, 2020, and June 2, 2020
- Published electronically: October 23, 2020
- © Copyright 2020 American Mathematical Society
- Journal: Math. Comp. 90 (2021), 671-688
- MSC (2020): Primary 15B10, 15A83, 65F15, 65F25
- DOI: https://doi.org/10.1090/mcom/3574
- MathSciNet review: 4194159