Adaptive, Matrix-Free Low-Rank Approximation
TL;DR
Across test matrices with diverse singular-value decays, the proposed methods attain ranks close to the truncated-SVD optimum while meeting the prescribed tolerance with high probability.
Abstract
We study fixed-tolerance low-rank approximation in the matrix-free setting, where a matrix or linear operator $\mathbf{A}$ is accessible only through matrix-vector products and its rank must be determined adaptively to meet a prescribed error tolerance. We introduce a family of adaptive, matrix-free randomized QB algorithms. A randomized error indicator estimates the residual norm -- in either the Frobenius or the spectral norm -- directly from a random sketch, remaining accurate down to machine precision. A matrix-free rank-pruning step decouples the computational block size from the final rank, so that large, BLAS-3-friendly blocks can be used without over-estimating the rank, and an adjoint-free variant returns the orthonormal basis using only the forward operator. Across test matrices with diverse singular-value decays, the proposed methods attain ranks close to the truncated-SVD optimum while meeting the prescribed tolerance with high probability.