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3.4 Singular Vector Calculation

Although [2] describes an implementation of CSI-MSVD to approximate singular values, singular vectors are not estimated. Two problems which arise from the lack of singular vector approximations are listed below.

  1. Estimation of the error in approximated singular values necessitates a comparison with true singular values generated by some other scheme, in order to detect if the current approximation to the singular value is within some acceptable bound.
  2. A set of singular values of acceptable accuracy must not be recomputed in succeeding iterations to prevent wasteful computation. Also, since CSI-MSVD approximates the largest singular values first, it is necessary to deflate the converged singular values out of the computation to allow convergence of the smaller singular value approximations. Most candidate schemes for deflation (see [20]), however, require singular vector approximations.
The implementation described in [2] addresses these two issues in the following manner.

The estimation of singular vectors from the eigenvectors derived by CSI-MSVD is a non-trivial task. The tridiagonal Jacobi matrix defined by Equation (17) has been constructed so that characteristic equation corresponding to has the same roots as the iteration matrix. Thus, the method does not explicitly construct a basis for the subspace spanned by the eigenvectors, so that the methods used in Lanczos or other popular Krylov-subspace methods do not have obvious analogs in CSI-MSVD.

However, as discussed in Section 2.1, especially when parameters such as defined in Equation (10) are chosen optimally, the iterative method defined by Equation (11) should converge to such that . As , the eigenvector of the appropriately scaled matrix M corresponds to the eigenvalue nearest 1. The parameters that affect the convergence of CSI-MSVD are:

The convergence of the iterative method to the eigenvector is affected by the choice of the above parameters, which are not known a priori. Also, after k steps of the iterative method, the recurrences provided by Equations (22) and (21) allow the calculation of 2k moments from the Chebyshev iterates, so that the construction of the Jacobi matrix is accelerated. However, in the absence of any obvious method to approximate Chebyshev iterates from the Jacobi matrix, the convergence of the iterative method to the eigenvector is slower than the convergence of the Jacobi matrix to the eigenvalues. To overcome these problems, a two-pass scheme has been developed.

Figure 3: Simple flow chart for computing the k-largest singular triplets using CSI-MSVD. 

Figure 3 illustrates the following steps of the two-pass scheme.

  1. PASS1: In the first pass, perform at most steps of CSI-MSVD. This involves the execution of all of the steps shown in Figure 2. The iteration is terminated when either  

  2. PASS2: Let be the eigenvalues of at the end of PASS1, and the current Chebyshev iterate. If the residual norm is not within some desired tolerance , the scaling parameter should be set to , and the damping parameter set to . Then, at most steps of the Chebyshev iteration are performed while examining the convergence as in Step 1. 

  3. ACCEPT: Accept the approximate singular value corresponding to (as defined in Section 1.2). If a higher accuracy in the current approximations to the singular value and corresponding singular vector obtained from is desired, some refinement procedure may be used, with starting values set to the current estimates. In practice, the accelerated construction of the Jacobi matrix produces eigenvalue approximations of at least accuracy, and as discussed in [19] a single step of inverse-iteration could be used to approximate the eigenvectors to accuracy. However, as mentioned in Section 1.3, for large, sparse matrices it is desirable to avoid fill-in from direct methods. The current PVM implementation of CSI-MSVD uses an ANSI-C translation of the subroutine SYMMLQ [1,18] for refinement of the eigenvector approximation. SYMMLQ is a Conjugate Gradient method for symmetric indefinite systems of the form where is a specified scalar value. By setting b=0, to , the computed vector x may approximate an eigenvector of the matrix B. After the residual error has been reduced to the desired tolerance, Wielandt deflation [20] can be employed to repeat the above 3 steps and thereby approximate the next largest singular triplet.

next up previous
Next: Error Estimation for Up: The CSI-MSVD Algorithm Previous: Parallel Program Flow

Michael W. Berry (
Sun May 19 11:34:27 EDT 1996