# Computing singular values of large matrices with an inverse-free preconditioned Krylov subspace method.

Dedicated to Lothar Reichel on the occasion of his 60th birthday1. Introduction. Consider the problem of computing a few of the extreme (i.e., largest or smallest) singular values and the corresponding singular vectors of an m x n real matrix C. For notational convenience, we assume that m [greater than or equal to] n as otherwise we can consider [C.sup.T]. In addition, most of the discussions here are valid for the case m < n as well with some notational modifications. Let [[sigma].sub.1] [less than or equal to] [[sigma].sub.2] [less than or equal to] ... [less than or equal to] [[sigma].sub.n] be the singular values of C. Then nearly all existing numerical methods are based on reformulating the singular value problem as one of the following two symmetric eigenvalue problems:

(1.1) [[sigma].sup.2.sub.1] [less than or equal to] [[sigma].sup.2.sub.2] [less than or equal to] ... [less than or equal to] [[sigma].sup.2.sub.n] are the eigenvalues of [C.sup.T]C

or

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

are the eigenvalues of the augmented matrix

(12) [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

Namely, a singular value of C can be obtained by computing the corresponding eigenvalue of either A := [C.sup.T]C or M.

Computing a few selected eigenvalues of a large symmetric matrix is a subject that has been well studied in the last few decades; see [4, 37] for surveys. To compute a few extreme eigenvalues of a large symmetric matrix, the standard method of choice is the Lanczos algorithm [13, p. 304] or the implicitly restarted Lanczos method [39] (ARPACK [30]). Their speed of convergence depends on how well the desired eigenvalues are separated from the rest of the spectrum. When the (relative) separation is small or the desired eigenvalues lie in the interior of the spectrum, a shift-and-invert spectral transformation is usually used to accelerate the convergence; see [13, 14]. This requires inverting or factorizing a shifted matrix. For sparse matrices, a factorization may create excessive fill-ins of the zero entries, which results in significant memory and operation costs. When the factorization of the shifted matrix is inefficient or infeasible, several methods have been developed that employ either inexact shift-and-invert or some preconditioning transformations. The Jacobi-Davidson method [38], the JDCG algorithm [34], the locally preconditioned conjugate gradient method (LOBPCG) [26, 27], and the inverse-free preconditioned Krylov subspace method [20, 32] are some of the methods in this class. There is a large body of literature on various aspects of the large symmetric eigenvalue problem; see [1,2,4,15,19, 33, 37,40,45] and the references therein for further discussions.

To compute a few extreme singular values of C, we can apply the Lanczos algorithm or the implicitly restarted Lanczos algorithm to one of the two formulations (1.1) and (1.2), and this can often be done implicitly. Indeed, several methods have been introduced that exploit the special structure and the associated properties of these eigenvalue problems. The Lanczos bidiagonalization method introduced in [17] is a widely used method for the singular value problems that implicitly applies the Lanczos method to the formulation (1.1). A robust implementation called lansvd is provided in PROPACK [29]. The implicit restart strategy has been developed for the Lanczos bidiagonalization algorithm in [3] and [28], which also include the robust MATLAB implementations irlba and irlanb, respectively. Other aspects of the Lanczos bidiagonalization algorithm are discussed in [10,24,42]. These methods based on the Lanczos algorithm for the eigenvalue problem (1.1) work well when the corresponding eigenvalue is reasonably well separated. However, their convergence may be slow if the eigenvalue is clustered, which turns out to be often the case when computing the smallest singular values through (1.1). Specifically, for the formulation (1.1), the spectral separation for [[sigma].sup.2.sub.1] as an eigenvalue of [C.sup.T] C may be much smaller than the separation of [[sigma].sub.1] from [[sigma].sub.2] since

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

(assuming [[sigma].sub.2] [much lees than] [[sigma].sub.n]). On the other hand, for the formulation (1.2), ai is an interior eigenvalue of M, for which a direct application of the Lanczos algorithm does not usually result in convergence.

The shift-and-invert transformation is a standard method to deal with clustering or to compute interior eigenvalues. For example, to compute a few of the smallest singular values, MATLAB's routine svds applies ARPACK [30, 39] to the augmented matrix M (1.2) with a shift-and-invert transformation. This works well for square matrices. However, for computing the smallest singular value of a non-square matrix, a subtle difficulty arises in using the shift-and-invert transformation for M because M is singular, and with a shift close to 0, the method often converges to one of the m - n zero eigenvalues of M rather than to [[sigma].sub.1]. On the other hand, one can avoid the shift-and-invert procedure by considering the Jacobi-Davidson method for the augmented matrix (1.2), and a method of this type, called JDSVD, has been developed in [21,22] that efficiently exploits the block structure of (1.2). The JDSVD method replaces the shift-and-invert step by approximately solving so-called correction equations using a preconditioned iterative method. When computing [[sigma].sub.1] as an interior eigenvalue of the augmented matrix (1.2), convergence of JDSVD appears to strongly depend on the quality of the preconditioner for the correction equation. This demands a good preconditioner for M or M - [mu]I, which is unfortunately difficult to construct when m [not equal to] n owing to the singularity of M.

It appears that the augmented matrix formulation (1.2) has some intrinsic difficulties when it is used to compute a few of the smallest singular values of a non-square matrix because of the existence of the zero eigenvalues of M. For this reason, we propose to reconsider formulation (1.1) in this situation. While (1.1) has the advantage of a smaller dimension in the underlying eigenvalue problem, a clear disadvantage is that there is no efficient method to carry out the shift-and-invert transformation [([C.sup.T] - [mu]I).sup.-1] other than explicitly forming [C.sup.T] C. Note that [C.sup.T] C is typically much denser than C and explicitly computing [C.sup.T] C may result in a loss of accuracy with the condition number being squared. In the case of [mu] = 0, which can be used to compute a singular value [[sigma].sub.1] that is sufficiently close to 0, the inverse of CT C can be implicitly obtained by computing the QR factorization of C. This is the approach taken in lansvd of PROPACK [29]. However, since a complete QR factorization of a sparse matrix may be expensive owing to possible excessive fill-ins of the zero entries, it is interesting to study other approaches that use incomplete factorizations instead. Other drawbacks of (1.1) include the need to compute left singular vectors when they are required and the potential loss of accuracy caused by computing [[sigma].sup.2.sub.1] when [[sigma].sub.1] is tiny; see Section 3. In particular, the computed left singular vectors may have low accuracy if the singular values are small; see the discussions in Section 3.

In this paper, we propose to address the small separation of [[sigma].sup.2.sub.1] in the formulation (1.1) by considering a preconditioned Krylov subspace method. Specifically, we shall implicitly apply the inverse-free preconditioned Krylov subspace method of [20] (or its block version [36]) to A = [C.sup.T] C. As already discussed, the standard shift-and-invert transformation is not practical for (1.1) as it requires a factorization of [C.sup.T] C - [mu]I. The inverse-free preconditioned Krylov subspace method is an effective way to avoid the shift-and-invert transformation for computing a few extreme eigenvalues of the symmetric generalized eigenvalue problem Ax = [lambda]Bx, where A and B are symmetric with B positive definite. In this method, an approximate eigenvector [x.sub.k] is iteratively improved through the Rayleigh-Ritz projection onto the Krylov subspace

[K.sub.m] ([H.sub.k], [x.sub.k]) := span {[x.sub.k], [H.sub.k] [x.sub.k], [H.sup.2.sub.k][x.sub.k], ..., [H.sup.m.sub.k] [x.sub.k]},

where Hk := A - [[rho].sub.k]B and [[rho].sub.k] is the Rayleigh quotient of [x.sub.k]. The projection is carried out by constructing a basis for the Krylov subspace through an inner iteration, where the matrices A and B are only used to form matrix-vector products. The method is proved to converge at least linearly, and the rate of convergence is determined by the spectral gap of the smallest eigenvalue of [H.sub.k] (rather than the original eigenvalue problem as in the Lanczos method). An important implication of this property is that a congruence transformation of (A, B) derived from an incomplete [LDL.sup.T] factorization of a shifted matrix A - [mu]B may be applied to reduce the spectral gap of the smallest eigenvalue of [H.sub.k] and hence, to accelerate the convergence to the extreme eigenvalue. This is referred to as preconditioning. A block version of this algorithm has also been developed in [36] to address multiple or severely clustered eigenvalues.

In applying the inverse-free preconditioned Krylov subspace method [20, 36] to the matrix A = [C.sup.T] C, we directly construct the projection of C rather than the projection of [C.sup.T] C used for the eigenvalue problem. In this way, we compute approximations of [[sigma].sub.1] directly from the singular values of the projection of C rather than using the theoretically equivalent process of computing approximations of [[sigma].sup.2.sub.1] from the projection of CTC. By computing [[sigma].sub.1] directly, we avoid the pitfall of a loss of accuracy associated with computing [[sigma].sup.2.sub.1] if [[sigma].sub.1] is tiny. On the other hand, the potential difficulty with the accuracy of the computed left singular vector in this case is intrinsic to the approach of [C.sup.T] C. An efficient implementation of the inverse-free preconditioned Krylov subspace method depends on the construction of a pre-conditioner derived from an incomplete [LDL.sup.T] factorization of [C.sup.T] C - [mu]I. Constructing a preconditioner for [C.sup.T] C has been discussed extensively in the literature in the context of solving least squares problems (see [5, 8, 9, 16, 31, 35, 43]), and one method well suited for our problem is the robust incomplete factorization (RIF) of [8, 9]. For the shifted matrix [C.sup.T] C -- [mu]I, however, there is no known effective method for computing a factorization without forming [C.sup.T] C first. It turns out that the robust incomplete factorization (RIF) can be easily adapted to construct an [LDL.sup.T] factorization of the shifted matrix [C.sup.T] C - [mu]I without forming [C.sup.T] C. Our numerical results demonstrate that the RIF preconditioner in combination with the inverse-free preconditioned Krylov subspace method leads to a very efficient preconditioned algorithm for the singular value problem. Numerical tests also exhibit that this method is particularly competitive for computing a few of the smallest singular values of non-square matrices.

The paper is organized as follows. Section 2 develops the inverse-free preconditioned Krylov subspace method for the singular value problem. Section 3 presents the robust incomplete factorization (RIF) preconditioner for [C.sup.T] C - [mu]I. Section 4 briefly describes a MATLAB implementation called svdifp that we have developed. Section 5 presents some numerical examples comparing our method with several existing programs for the singular value problem. We conclude in Section 6 with some remarks. We consider real matrices throughout, but all results can be generalized to complex matrices in a trivial way.

Throughout, [parallel] * [parallel] denotes the 2-norm for both vectors and matrices. [[parallel] * [parallel].sub.1] denotes the 1-norm. [[parallel] * [parallel].sub.max] denotes the max norm, i.e., the largest entry of the matrix in absolute values. <x, y> := [x.sup.T] y is the Euclidean inner product, and for a symmetric positive definite matrix A, <x, y>A := [x.sup.T] Ay is the A-inner product.

2. The inverse-free preconditioned Krylov subspace method. We compute the singular values of C by computing the eigenvalues of A = [C.sup.T] C. To address the problem of slow convergence caused by the reduced spectral gap of [[sigma].sup.2.sub.1] in the Lanczos algorithm, we apply the inverse-free preconditioned Krylov subspace projection method of [20], whose speed of convergence can be accelerated by preconditioning using some incomplete factorizations. We first describe this basic method for the eigenvalue problem in Section 2.1. We then develop a corresponding algorithm for the singular value problem in Section 2.2.

2.1. The generalized eigenvalue problem. Consider the problem of computing the smallest eigenvalue of the generalized eigenvalue problem for (A, B), i.e., Ax = [lambda]Bx. Note that we need to discuss the generalized eigenvalue problem here even though the singular value problem will be formulated as a standard eigenvalue problem for CT C because our preconditioning scheme will actually transform it to an equivalent generalized eigenvalue problem.

In an iterative process, assume that [x.sub.k] is an approximate eigenvector at step k. We construct a new approximation [x.sub.k+1] by the Rayleigh-Ritz projection of (A, B) onto the Krylov subspace

[K.sub.m] (A [[rho].sub.k]B, [x.sub.k]) = span {[x.sub.k], (A [[rho].sub.k]B)[x.sub.k], ..., [(A - [[rho].sub.k]B).sup.m] [x.sub.k]},

where

[[rho].sub.k] = [rho]([x.sub.k]):= [x.sup.T.sub.k]A[x.sub.k]/[x.sup.T.sub.k]B[x.sub.k]

is the Rayleigh quotient and m is a parameter to be chosen. Specifically, let [Z.sub.m] be the matrix consisting of the basis vectors of [K.sub.m](A - [[rho].sub.k]B, [x.sub.k]). We then form the matrices [A.sub.m] = [Z.sup.T.sub.m] (A - [[rho].sub.k]B)[Z.sub.m] and [B.sub.m] = [Z.sup.T.sub.m] B[Z.sub.m] and find the smallest eigenvalue [[mu].sub.1] and a corresponding eigenvector h for ([A.sub.m], [B.sub.m]). Then the new approximate eigenvector is

(2A) [x.sub.k+1] [Z.sub.m]h,

and, correspondingly, the Rayleigh quotient

(2.2) [[rho].sub.k+1] = [[rho].sub.k] + [[mu].sub.1]

is a new approximate eigenvalue. This is the basic process of the inverse-free Krylov subspace method; see [20] or Algorithm 2.2 below for a formal description. The construction of the basis vectors [Z.sub.m] for [K.sub.m](A - [[rho].sub.k]B, [x.sub.k]) is accomplished using either the Lanczos method or the Arnoldi method with the B-inner product; see [20] for a more detailed discussion.

It is shown in [20, Theorem 3.2] that [[rho].sub.k] always converges to an eigenvalue and [x.sub.k] converges into the direction of an eigenvector. Furthermore, the following theorem characterizes the speed of convergence.

THEOREM 2.1 ([20, Theorems 3.2 and 3.4]). Let A and B be symmetric with B positive definite, and let [[lambda].sub.1] < [[lambda].sub.2] [less than or equal to] ... [less than or equal to] [[lambda].sub.n] be the eigenvalues of (A, B). Let ([[rho].sub.k], [x.sub.k]) be the approximate eigenpair at step k of the inverse-free Krylov subspace method defined by (2.1) and (2.2), and assume that [[lambda].sub.1] < [[rho].sub.0] [less than or equal to] [[lambda].sub.2]. Then [[rho].sub.k] converges to [[lambda].sub.1]. Furthermore, if [[mu].sub.1] < [[mu].sub.2] [less than or equal to] ... [less than or equal to] [[mu].sub.n] are the eigenvalues of A - - [[rho].sub.k] B, then

(2.3) [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

where

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

and [P.sub.m] denotes the set of all polynomials of degree not greater than m.

This theorem demonstrates that [[rho].sub.k] converges at least with the rate of [[epsilon].sup.2.sub.m], which is determined by the spectral distribution of A - [[rho].sub.k]B. It is also shown in [20, Corollary 3.5] that, asymptotically, the eigenvalues of A - [[rho].sub.k]B in this bound can be replaced by those of A - [[lambda].sub.1]B to simplify it. Namely, letting 0 = [[gamma].sub.1] < [[gamma].sub.2] [less than or equal to] ... [less than or equal to] [[gamma].sub.n] be the eigenvalues of A - [[lambda].sub.1]B, we have

(2.4) [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

where

[psi]:= [[gamma].sub.2] - [[gamma].sub.1]/[[gamma].sub.n] - [[gamma].sub.1] = [[gamma].sub.2]/[[gamma].sub.2]

By (2.4) (or Theorem 2.1), convergence of the inverse-free Krylov subspace method can be accelerated by increasing the relative gap between [[gamma].sub.1] and [[gamma].sub.2] (or [[mu].sub.1] and [[mu].sub.2]). This can be achieved by a congruent equivalent transformation, which is called preconditioning. Specifically, we can compute an [LDL.sup.T] factorization of A - [[lambda].sub.1]B that is scaled such that

(2.5) [L.sup.-1](A - [[lambda].sub.1]B)[L.sup.-T] = D = diag(1, ..., 1,0).

We then consider the preconditioned problem

(2.6) [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII],

which has exactly the same eigenvalues as the pencil (A, B). However, applying our algorithm to ([MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]), the speed of convergence depends on the spectral gap of

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII],

which has exactly two eigenvalues, namely [[gamma].sub.1] =0 and [[gamma].sub.2] = ... = [[gamma].sub.n] = 1. Then [psi] = 1, and [[rho].sub.k+1] - [[lambda].sub.1] = O ([([[rho].sub.k] - [[lambda].sub.1]).sup.2]), which implies quadratic convergence of [[rho].sup.(k)]. In general, one may use a step-dependent preconditioner by computing the factorization A - [[rho].sub.k]B = [L.sub.k][D.sub.k][L.sup.T.sub.k]. Then, using (2.3), we also obtain quadratic convergence of [p.sup.(k)]; see [20] for details.

The preconditioning strategies discussed above are ideal situations where the full [LDL.sup.T] factorization is computed. A practical way of implementing this is to compute an incomplete factorization of A - [mu]B as an approximation, where [mu] is an approximation of [[lambda].sub.1]. With such a matrix L, we may expect the eigenvalues of [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] to be clustered around two points. Then [psi] [approximately equal to] 1, which results in accelerated convergence by (2.4); see [36] for an analysis. We can also construct a preconditioner [L.sub.k] from an incomplete [LDL.sup.T] factorization of A - [[rho].sub.k]B at each step to reduce [[epsilon].sub.m] and hence to accelerate convergence. This is a more costly approach, but it can be used to update a preconditioner when it appears ineffective.

As in the preconditioned conjugate gradient method for linear systems, the preconditioning transformation (2.6) can be carried out implicitly. Indeed, all we need is to construct, at the iteration k, a basis for the transformed Krylov subspace

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII],

where [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]. This is achieved by using matrix-vector multiplications with [L.sup.-T][L.sup.-1][H.sub.k], and the only operation involving the preconditioning transformation is [L.sup.-T][L.sup.-1]; see [20] for details. For completeness, we state the following preconditioned algorithm from [20, Algorithm 4] (with a possibly step-dependent preconditioner L as discussed above and a construction of a B-orthonormal basis of the Krylov subspace).

ALGORITHM 2.2. Inverse free preconditioned Krylov subspace method for (A, B). 1 Input m and an initial approximate eigenvector [x.sub.0] with [parallel] [x.sub.0] [parallel] = 1; 2 [[rho].sub.0] = [rho]([x.sub.0]); 3 For k = 0,1,2, ... until convergence 4 construct a preconditioner L; 5 construct a B-orthonormal basis {[z.sub.0], [z.sub.1], ..., [z.sub.m]} for [K.sub.m]([L.sup.-T][L.sup.-1] (A - [[rho].sub.k]B), [x.sub.k]); 6 form [A.sub.m] = [Z.sup.T.sub.m] (A - [[rho].sub.k]B)[Z.sub.m], where [Z.sub.m] = [[z.sub.0], [Z.sub.1], ..., [z.sub.m]]; 7 find the smallest eigenvalue [[mu].sub.1] and an eigenvector h of [A.sub.m]; 8 [[rho].sub.k+1] = [[rho].sub.k] + [[mu].sub.1] and [x.sub.k+1] = [Z.sub.m]h. 9 End

The above algorithm computes the smallest eigenvalue only. To find additional eigenvalues, we need to use a deflation procedure. A natural deflation process discussed in [32] is to shift the eigenvalues that have been computed and then apply the algorithm. Specifically, assume that ([[lambda].sub.i], [v.sub.i]) (for 1 [less than or equal to] i [less than or equal to] l) are l eigenpairs that have been computed, and let [V.sub.l] = [[v.sub.1], ..., [v.sub.l]] satisfy [V.sup.T.sub.l][BV.sub.l] = I. Then [AV.sub.l] = [BV.sub.l][[LAMBDA].sub.l], where [[LAMBDA].sub.l] = diag{[[lambda].sub.1], ..., [[lambda].sub.l]}. If [[lambda].sub.e+1] [less than or equal to] [[lambda].sub.l+2] [less than or equal to] ... [less than or equal to] An are the remaining eigenvalues of (A, B), then [[lambda].sub.l+1] is the smallest eigenvalue of

(2.7) ([A.sub.l], B) := (A + (B[V.sub.l])[SIGMA][([BV.sub.l]).sup.T], B),

where [SIGMA] = diag{[alpha] - [[lambda].sub.i]} and [alpha] is any value chosen to be greater than [[lambda].sub.l+2]. Therefore [[lambda].sub.l+1] can be computed by applying the inverse-free preconditioned Krylov subspace algorithm to ([[lambda].sub.l], B). For the singular value problem for C to be discussed in the next section, we apply the inverse-free preconditioned Krylov subspace to A = [C.sup.T] C implicitly by applying the projection on C. However, the deflation (2.7) changes the structure to [C.sup.T] C + ([BV.sub.l])[SIGMA][([BV.sub.l]).sup.T], for which an implicit projection is difficult to construct. In this setting, it is more desirable to work with (A, B) directly.

An alternative approach is to project the Krylov subspace to the B-orthogonal complement of [V.sub.l] := span{[v.sub.1], ..., [v.sub.l]}. Namely, we apply projections directly on (A, B) but replace the Krylov subspace [K.sub.m](A - [[rho].sub.k]B, [x.sub.k]) or in the preconditioned algorithm, the subspace [K.sub.m]([L.sup.-T][L.sup.-1](A - [[rho].sub.k]B), [x.sub.k]), respectively, by the projected subspace

(2.8) [K.sub.m]((I - [V.sub.l][V.sup.T.sub.l]B)(A - [[rho].sub.k]B), [x.sub.k]) or [K.sub.m]((I - [V.sub.l][V.sup.T.sub.l]B)[L.sup.-T][L.sup.-1](A - [[rho].sub.k]B), [x.sub.k]).

This enforces that all approximate eigenvectors obtained are in the B-orthogonal complement of V and hence their convergence to an eigenvector corresponding to one out of the eigenvalues {[[lambda].sub.l+1], ..., [[lambda].sub.n]} provided the iteration converges. This deflation approach has the advantage of not changing the matrix A = [C.sup.T] C for the singular value problem. However, its convergence property is not understood as the existing theory (Theorem 2.1) is not readily applicable to the setting of projected Krylov subspaces. However, our numerical experiments show that this deflation strategy works as intended.

2.2. The singular value problem for C. We consider the singular value problem for an m x n matrix C. We apply Algorithm 2.2 to the eigenvalue problem A = [C.sup.T] C and B = I. However, a direct application involves computing the eigenvalue [[rho].sub.k] of the projection problem involving [A.sub.m], which converges to [[sigma].sup.2.sub.1]. One potential difficulty associated with this approach is that [[rho].sub.k] computed in this way may have a larger error if [[sigma].sub.1] is very small (relative to [parallel] C [parallel]). Specifically, if [[??].sub.k] is the computed Ritz value, it follows from the standard backward error analysis [18] that [[??].sub.k] is the exact eigenvalue of a perturbed matrix [A.sub.m] + [E.sub.m] with [parallel][E.sub.m][parallel] = O(u) [parallel][A.sub.m][parallel], where u is the machine precision. Then

[absolute value of ([[??].sub.k] - [[rho].sub.k])] [less than or equal to] O(u) [parallel] [A.sub.m] [parallel] [less than or equal to] O(u) [parallel]A[parallel] = O(u) [[parallel]C[parallel].sup.2]

and

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

where k(C) = [[sigma].sub.n]/[[sigma].sub.1] is the condition number of C. In particular, the relative error

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

is proportional to k[(C).sup.2]. Thus, very little relative accuracy may be expected if k(C) is of order 1/[square root of (u)]. In contrast, a backward stable algorithm should produce an approximation of [[sigma].sub.1] with absolute error of the order of O(u)[parallel]C[parallel] and the relative error of the order of O(u)k(C). We note that the above discussion is based on a worst case upper bound. It is likely pessimistic particularly in the bound of [parallel] [A.sub.m] [parallel], but it does highlight the potential loss of accuracy when one approximates [[sigma].sub.1] through computing [[sigma].sup.2.sub.1]; see Example 5.1 in Section 5.

To achieve the desired backward stability, we propose to construct a two-sided projection of C, from which we compute the approximate singular values directly. This is similar to the Lanczos bidiagonalization algorithm, where a bidiagonal projection matrix is constructed whose singular values directly approximate the singular values of C. Algorithmically, we construct an orthonormal basis {[z.sub.0], [z.sub.1], ..., [z.sub.m]} for [K.sub.m]([L.sup.-T][L.sup.-1](A - [[rho].sub.k]I), [x.sub.k]) and simultaneously an orthonormal basis {[y.sub.0], [y.sub.1], ..., [y.sub.m]} for span{C[z.sub.0], C[z.sub.1], ..., C[z.sub.m]} as follows.

First [f.sub.0,0] = [[parallel]C[z.sub.0][parallel].sub.2], and [y.sub.0] = C[z.sub.0]/[f.sub.0,0]. Then, for i = 1, ..., m, we generate [z.sub.i] and [y.sub.i] by

(2.9) [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

where [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] are chosen so that [parallel][y.sub.i][parallel] = [parallel][z.sub.i][parallel] = 1. Assuming dim([K.sub.m]([L.sup.-T][L.sup.-1] (A - [[rho].sub.k]I),[x.sub.k])) = m + 1, the recurrence for [z.sub.i] does not breakdown, and the process leads to an orthonormal basis {[z.sub.0], [z.sub.1], ..., [z.sub.m]}. It is easy to show that the recurrence for [y.sub.i] does not breakdown either and {[y.sub.0], [y.sub.1], ..., [y.sub.m]} is orthonormal. Let [Y.sub.m] = [[y.sub.0], [y.sub.1], ..., [y.sub.m]]. Then C[Z.sub.m] = [Y.sub.m][G.sub.m], where [G.sub.m] = [[[g.sub.ij]].sup.m.sub.i,j=0.] It follows that [Z.sup.T.sub.m]([C.sup.T]C)[Z.sub.m] = [G.sup.T.sub.m][G.sub.m]. If [[sigma].sup.(1).sub.k] is the smallest singular value of [G.sub.m], then [([[sigma].sup.(1).sub.k]).sup.2] is the smallest eigenvalue of [A.sub.m] = [Z.sup.T.sub.m]([C.sup.T]C)[Z.sub.m], i.e., the so constructed value [([[sigma].sup.(1).sub.k]).sup.2] is equal to [[rho].sub.k+1] in Algorithm 2.2.

By computing [[sigma].sup.(1).sub.k] directly, we avoid a possible loss of accuracy. Specifically, if [[??].sup.(1).sub.k] is the computed singular value of [G.sub.m] using the standard SVD algorithm such as svd, then it follows from backward stability that [[??].sup.(1).sub.k] is the exact singular value of [G.sub.m] + [F.sub.m] for some [F.sub.m] with [parallel][F.sub.m][parallel] = O(u)[parallel][G.sub.m][parallel]. Then

[absolute value of ([[??].sup.(1).sub.k] - [[sigma].sup.(1).sub.k])] [less than or equal to] O(u) [parallel][G.sub.m][parallel] [less than or equal to] O(u) [parallel]C[parallel]

and hence,

[absolute value of ([[??].sup.(1).sub.k] - [[sigma].sup.(1).sub.k])]/ [[sigma].sup.(1).sub.k] [less than or equal to] O(u) K (C).

Thus, as Algorithm 2.2 converges, i.e., [square root of ([rho]k)] = [[sigma].sup.(1).sub.k] [right arrow] [[sigma].sub.1], the approximate singular value [[??].sup.(1).sub.k] can approximate [[sigma].sub.1] with a relative accuracy of the order of O(u)k(C).

To compute additional eigenvalues, we use a deflation based on the projected Krylov subspace (2.8) and compute the direct projection of C in the same way. We summarize this process in the following algorithm, Algorithm 2.3, that computes the (l + 1)st smallest singular value when the first l singular values have already been computed.

ALGORITHM 2.3. Inverse free preconditioned Krylov subspace method for SVD. 1 Input: m; [V.sub.l] = [[v.sub.1], ..., [v.sub.l]] with [C.sup.T] [Cv.sub.i] = [[sigma].sup.2.sub.i] [v.sub.i] and [V.sup.T.sub.l][V.sub.l] = I; initial right singular vector [x.sub.0] such that [parallel][x.sub.0][parallel] = 1 and [V.sup.T.sub.l][x.sub.0] = 0; 2 initialize: [[rho].sub.0] = [parallel][Cx.sub.0][parallel]; [G.sub.m] = [[g.sub.ij]] =0 [member of] [R.sup.(m+1)x(m+1)]; 3 For k = 0,1,2, ... until convergence 4 construct a preconditioner L; 5 [z.sub.0] = [x.sub.k]; w = [Cz.sub.0]; m' = m; 6 [g.sub.0,0] = [parallel]w[parallel] and [y.sub.0] = w/[g.sub.0,0]; 7 For i = 1 : m 8 [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] 9 For j = 0 : i - 1 10 [z.sub.i] = [z.sub.i] - ([z.sup.T.sub.j][z.sub.i])[z.sub.j]; 11 End 12 If [parallel][z.sub.i][parallel] [not equal to] 0, [z.sub.i] = [z.sub.i]/[parallel][z.sub.i][parallel]; otherwise, m' = i and break; 13 w = [Cz.sub.i]; [y.sub.i] = w; 14 For j = 0 : i - 1 15 [g.sub.j,i] = [y.sup.T.sub.j][y.sub.i] and [y.sub.i] = [y.sub.i] - [g.sub.j,i][y.sub.j]; 16 End 17 [g.sub.i,i] = [parallel][y.sub.i][parallel] and [y.sub.i] = [y.sub.i]/[g.sub.i,i]; 18 End 19 compute the smallest singular value of [[sigma].sup.(1).sub.k+1] of [G.sub.m] = [[[g.sub.ij]].sup.m'.sub.i,j=0'] and a corresponding unit right singular vector h; 20 [[rho].sub.k+1] = [([[sigma].sup.(1).sub.k]+1).sup.2], [x.sub.k]+1 = [[z.sub.0], [z.sub.1], ..., [z.sub.m']]h; 21 End

We make some remarks concerning Algorithm 2.3. The presented algorithm has deflation included, where l singular values and right singular vectors are given as inputs. When none is given, it computes the smallest singular value [[sigma].sub.1] by setting l = 0 and [V.sub.l] to the empty matrix. At line 4, a preconditioner needs to be constructed such that [LDL.sup.T] [much less than] [C.sup.T] C - [mu]I for p equal to [[rho].sub.k] or a fixed initial value. An algorithm based on RIF to compute an incomplete factor L implicitly from C will be discussed in the next section. As stated, different preconditioners may be used for different iteration steps, but for efficiency reasons, we usually use the same preconditioner. Line 9 implements the deflation and preconditioning techniques implicitly. The for loop at lines 7-18 constructs an orthonormal basis {[z.sub.0], [z.sub.1], ..., [z.sub.m']} for the Krylov subspace and simultaneously an orthonormal basis {[y.sub.0], [y.sub.1], ..., [y.sub.m']} such that C[Z.sub.m'] = [Y.sub.m'] [G.sub.m'], where m' = dim([K.sub.m]((I - [V.sub.l][V.sup.T.sub.l])[L.sup.-T][L.sup.-1](A - [[rho].sub.k]B), [x.sub.k])) - 1. Then [G.sub.m'] = [Y.sup.T.sub.m] C[Z.sub.m']. Its smallest singular value and a corresponding right singular vector h are computed to construct a new approximate right singular vector at lines 19-20.

The process is theoretically equivalent to Algorithm 2.2 as applied to A = [C.sup.T] C and B = I. When no preconditioning is used, i.e., L = I, the inverse-free Krylov subspace method is simply the Lanczos method for A with a restart after m iterations. When the preconditioning is used, we effectively transform the standard eigenvalue problem for [C.sup.T] C to the equivalent generalized eigenvalue problem for [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII], to which the inverse-free Krylov subspace method is applied.

In the eigifp implementation [32] of the inverse-free preconditioned Krylov subspace method for the eigenvalue problem, an LOBPCG-type (locally optimal preconditioned conjugate gradient [25, 27]) subspace enhancement was also included to further accelerate convergence. Note that, in the LOBPCG method, the steepest descent method is modified by adding the previous approximate eigenvector [x.sub.k-1] to the space spanned by the current approximation and its residual span{[x.sub.k], (A - [[rho].sub.k]B)[x.sub.k]} to construct a new approximate eigenvector. It results in a conjugate gradient-like algorithm that has a significant speedup in convergence over the steepest descent method. This idea has also been used in eigifp [32] by adding the previous approximate eigenvector [x.sub.k-1] to the Krylov subspace [K.sub.m](A - [[rho].sub.k]B, [x.sub.k]), which is also found to accelerate convergence in many problems. As the extra cost of adding this vector is quite moderate, we also use this subspace enhancement in our implementation for the singular value problem. Algorithmically, we just need to add after the for loop at lines 7-18 the construction of an additional basis vector [z.sub.m'+1] by orthogonalizing [x.sub.k] - [x.sub.k-1] against {[z.sub.0], [z.sub.1], ..., [z.sub.m']}. Note that we have used [x.sub.k] - [x.sub.k-1] rather than [x.sub.k-1] for orthogonalization because orthogonalizing [x.sub.k-1] against [z.sub.0] = [x.sub.k] typically leads to a cancellation when [x.sub.k] [approximately equal to] [x.sub.k-1]. To avoid possible cancellations, we implicitly compute the orthogonalization of [x.sub.k] - [x.sub.k-1] against [z.sub.0] = [x.sub.k] through

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

is the unit right singular vector of the projection matrix [G.sub.m], and [[??].sub.m'] is the matrix of the basis vectors at line 19 of the previous step (step k - 1) of Algorithm 2.3, i.e., [x.sub.k] = [[??].sub.m]h and [x.sub.k-1] = [[??].sub.m'][e.sub.1], where [e.sub.1] = [[1,0, ..., 0].sup.T]. It is easy to check that

d = [[??].sub.m']h - 1/[h.sub.1] [[??].sub.m'][e.sub.1] = [x.sub.k] - 1/[h.sub.1][x.sub.k-1] = 1/[h.sub.1] ([x.sub.k] - [x.sub.k-1]) - [h.sub.1] - 1/[h.sub.1] [x.sub.k]

and [x.sup.T.sub.k]d = 0. Therefore, a new basis vector that extends the subspace with [x.sub.k] - [x.sub.k-1] can be obtained by orthogonalizing d against {[z.sub.1], ..., [zm.sub.']} as

[f.sub.m'+1,m'+1] [z.sub.m'+1] = d [f.sub.1,m'+1] [z.sub.1] - ... -[f.sub.m',m'+1][z.sup.m'].

Moreover, Cd = C[Z.sub.m'] [[-[[??].sup.T][??]/[h.sub.1], [??]].sup.T], and then C[z.sub.m'+1] can be computed without the explicit multiplication by C from

C[z.sub.m'+1] = CD - [f.sub.1,m'+1]C[z.sub.1] - ... - [f.sub.m',m'+1]C[z.sub.m']/[f.sub.m'+1,m'+1],

from which [y.sub.m'+1] and an additional column of G are computed as in (2.9). However, with possible cancellations in the last formula, C[z.sub.m'+1] may be computed with large errors and we suggest to compute C[z.sub.m'+1] explicitly when high accuracy is needed.

The algorithm we have presented computes approximate singular values and simultaneously the corresponding right singular vectors only. In applications where singular triplets are required, we can compute approximate left singular vectors from the right singular vectors obtained. This is a limitation of the [C.sup.T] C formulation (1.1) and Algorithm 2.3, where we reduce the eigenvalue residual [r.sub.p] of the approximate singular value and right singular vector pair ([[sigma].sup.(1).sub.k], [x.sub.k]) (with [parallel][x.sub.k][parallel] = 1),

[r.sub.p] := [parallel][C.sup.T]C[x.sub.k] - [([[sigma].sup.(1).sub.k]).sup.2][x.sub.k][parallel].

From this residual, the errors of the approximate singular value [[sigma].sup.(1).sub.k] and approximate right singular vector [x.sub.k] can be bounded as (see [13, p. 205])

[absolute value of ([[sigma].sup.(1).sub.k] - [[sigma].sub.1])] [less than or equal to] [r.sup.2.sub.p]/ ([[sigma].sup.(1).sub.k] + [[sigma].sub.1])gap and sin < ([x.sub.k], [v.sub.1]) [less than or equal to] [r.sub.p]/gap,

where we assume that [[sigma].sub.1] is the singular value closest to [[sigma].sup.(1).sub.k], [v.sub.1] is a corresponding right singular vector, and gap = [min.sub.i[not equal to]1] [absolute value of ([[sigma].sup.(1).sub.k] - [[sigma].sub.i])]. When a corresponding left singular vector is needed, it can be obtained as

(2.10) wk = C [x.sub.k]/ [[sigma].sup.(1).sub.k]

provided that [[sigma].sup.(1).sub.k] [not equal to] 0. Then the accuracy of the approximate singular triplet ([[sigma].sup.(1).sub.k], [w.sub.k], [x.sub.k]) can be assessed by

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

It is easily checked that

(2.11) [r.sub.t] = [r.sub.p]/[[sigma].sup.(1).sub.k].

Therefore, for a tiny singular value, a small residual [r.sub.p] for the pair ([[sigma].sup.(1).sub.k], [x.sub.k]) does not imply a small residual [r.sub.t] for the singular triplet ([[sigma].sup.(1).sub.k], [w.sub.k], [x.sub.k]). Indeed, the constructed left singular vector wk may not be a good approximation even if [x.sub.k] is a good approximate right singular vector as indicated by [r.sub.p]. This appears to be an intrinsic difficulty of the [C.sup.T] C formulation (1.1). Specifically, in the extreme case of [[sigma].sub.1] = 0, a corresponding left singular vector is any vector in the orthogonal complement of R(C) (the range space of C), and it can not be obtained from multiplying a right singular vector by C or any vector in the subspace C[K.sub.m]([C.sup.T]C, [x.sub.k]) = [K.sub.m](C[C.sup.T], C[x.sub.k]) [subset] R(C). In this case, we need to consider C[C.sup.T] on a new random initial vector to compute a left singular vector.

An alternative formulation for the left singular vector is obtained by calculating the left singular vector g of the projection matrix [G.sub.m] at line 19 of Algorithm 2.3 and then forming

(2.12) [w.sub.k] = [[y.sub.0], [y.sub.1], ..., [y.sub.m']]g.

It is easy to check that this is theoretically equivalent to (2.10) if [[sigma].sup.(1).sub.k] [not equal to] 0. However, an advantage of this formulation is that it is still defined even when [[sigma].sup.(1).sub.k] = 0 although the quality of the approximation is not assured. Our numerical experiments indicate that (2.12) is in general similar to (2.10) but may lead to a slightly better left singular vectors in some problems. In our implementation, we use (2.11) to estimate the residual of singular triplets to avoid the cost of computing it, but at termination, we use (2.12) to compute a left singular vector and then recompute its residual.

In the algorithm, we have used [r.sub.p] for the convergence test unless a left singular vector is required. When this is indeed needed, [r.sub.t] is used for the convergence test. As discussed above, however, [r.sub.t] may never converge to 0 if [[sigma].sup.(1).sub.k] is extremely small. Therefore, in order to properly terminate the iteration in such a situation, we propose to monitor the magnitude of the computed singular value, and when an extremely small singular value (i.e., of the order of machine precision) is detected, the stopping criterion should be switched to using [r.sub.p]. By properly terminating the iteration according to [r.sub.p], we can still obtain a sufficiently good approximate singular value and a right singular vector. After that, we can then separately apply the algorithm to [C.sup.T] to compute a left singular vector.

In the following algorithm, we present an extension of Algorithm 2.3 by the subspace enhancement steps and termination criteria discussed above. It also includes the additional step needed in computing the left singular vector when it is required.

ALGORITHM 2.4. Inverse free preconditioned Krylov subspace method for SVD with LOBPCG enhancement. 1-17 See lines 1-17 of Algorithm 2.3. 18 [z.sub.m'+1] = [d.sub.k]; w = C[d.sub.k]; 19 For j = 0 : m' 20 [z.sub.m'+1] = [z.sub.m'+1]([z.sup.T.sub.j][z.sub.m] + 1)[z.sub.j]; 21 w = w - ([z.sup.T.sub.j][z.sub.m'] + 1)C[z.sub.j]; 22 End 23 If [parallel][z.sub.m'+1][parallel] [not equal to] 0 24 [z.sub.m'+1] = [z.sub.m'+1]/[parallel][z.sub.m'+1][parallel], w = w/[parallel][z.sub.m'+1][parallel]; [y.sub.m'+1] = w; 25 For j = 0 : m' 26 [g.sub.j,m'] + 1 = [y.sup.T.sub.j] [y.sub.m'+1] and [y.sub.m'+1] = [y.sub.m'+1] [g.sub.j,m'+1] [y.sub.j]; 27 End 28 [g.sub.m'+1,m'+1] = [parallel][y.sub.m'] + 1[parallel] and [y.sub.m'+1] = [y.sub.m'+1]/[g.sub.m'+1,m'+1]; 29 m' = m' + 1; 30 End 31 compute the smallest singular value [[sigma].sup.(1).sub.k] of [G.sub.m] = [[[g.sub.ij]].sup.m'.sub.i,j=0], and a corresponding unit right singular vector h; 32 [d.sub.k+1] = [Z.sub.m'](h [e.sub.1]/[h.sub.1]); C[d.sub.k+1] = C[Z.sub.m'](h - [e.sub.1]/[h.sub.1]), 33 [[rho].sub.k+1] = [([[sigma].sup.(1).sub.k+1]).sup.2], [x.sub.k+1]= [Z.sub.m']h; 34 res = [parallel][C.sup.T]C[x.sub.k+1] - [[rho].sub.k+1][x.sub.k+1][parallel] 35 If singular triplet is desired and [[sigma].sup.(1).sub.k+1] > u[[parallel]C[parallel].sup.2] 36 res = res/[[sigma].sup.(1).sub.k]; 37 End 38 test convergence using res; 39 End 40 If singular triplet is desired 41 compute a left singular vector g of [G.sub.m] and [w.sub.k+1] = [[y.sub.0], [y.sub.1], ..., [y.sub.m']]g; 42 End 43 Output: ([[sigma].sup.(1).sub.k+1], [x.sub.k+1]) or, if singular triplet is required, ([[sigma].sup.(1).sub.k+1], [w.sub.k+1], [x.sub.k+1]).

In Algorithm 2.4, lines 1-17 are identical to Algorithm 2.3. In lines 18-30, the subspace is expanded with [x.sub.k] - [x.sub.k-1] using the method mentioned earlier. In line 32 the orthogonalization of [x.sub.k+1] - [x.sub.k] against [x.sub.k+1] is computed to be used in the next iteration. The algorithm, by default, computes the singular value and the right singular vectors. If singular triplets are desired, in lines 35-37 an appropriate residual is computed to be used for testing convergence. This is only for the purpose of terminating the iteration. At convergence, however, we compute the left singular vector [w.sub.k+1] and the residual of the singular triplets explicitly.

Finally, we mention that the algorithm can be adapted trivially to compute the largest singular value. Namely, to compute the largest singular values of C, we just need to modify line 19 in Algorithm 2.3 and line 31 in Algorithm 2.4 to calculate the largest singular value of [G.sub.m] and a corresponding right singular vector, and the rest of the algorithm remains the same. It is easy to see that the convergence theory of [20] extends to this case. We also note that the above algorithm is based on a vector iteration for computing a single singular value. A block matrix iteration version of the inverse-free preconditioned Krylov subspace method has been developed in [36] to compute multiple eigenvalues or extremely clustered eigenvalues. It can be adapted as in Algorithm 2.3 to the task of computing multiple or extremely clustered singular values. Here, we omit a formal statement of the algorithm; see [36].

3. Preconditioning by robust incomplete factorizations (RIF). In this section, we discuss how to construct a preconditioner L, i.e., an approximate [LDL.sup.T] factorization [C.sup.T] C - [mu]I = [LDL.sup.T], where [square root of ([mu])] is an approximation of the singular value to be computed and D is a diagonal matrix of 0 or [+ or -] 1. This generally requires forming the matrix [C.sup.T] C - [mu]I, which may be much denser than C and hence leads to a denser L. In addition, forming the matrix is associated with a potential loss of information in very ill-conditioned cases although this appears not to pose a problem when only an approximate factorization is sought [23].

For computing the smallest singular value, [mu] = 0 is a natural first choice for the shift. In this case, we need an incomplete factorization of a symmetric positive semidefinite matrix, for which numerous techniques have been developed; see [6] for a survey. Indeed, if [mu] = 0, the problem is the same as constructing a preconditioner for the linear least squares problem. One method that has been well studied is the incomplete QR factorization; see [5, 16, 31, 35, 43]. The incomplete QR factorization methods, such as the incomplete modified Gram-Schmidt method or the incomplete Givens rotation method, can be used here to construct a preconditioner for computing the smallest singular values that are close to 0. While these methods are effective and often result in a much faster convergence, they tend to have high intermediate storage requirements in our experiences; see [9] as well. Moreover, they can not deal with the case [mu] [not equal to] 0. On the other hand, Benzi and Tuma propose a method for constructing a preconditioner for [C.sup.T] C in [9] called robust incomplete factorization (RIF). This method can be easily adapted to the computation of an incomplete [LDL.sup.T] factorization for [C.sup.T] C - [mu]I and is found to have more moderate fill-ins. We discuss now the RIF preconditioner for the SVD algorithm.

Let A [member of] [R.sup.nxn] be a sparse symmetric positive definite matrix. The idea of RIF is to obtain the factorization A = [L.sup.T] DL by applying an A-orthogonalization process to the unit basis vectors [e.sub.1], [e.sub.2], ..., [e.sub.n] (i.e., i = [[e.sub.1], [e.sub.2], ..., [e.sub.n]]). It will become a Gram-Schmidt process for the unit basis vectors with respect to the inner product [<x, y>.sub.A] := [x.sup.T]Ay, i.e., for i = 1, 2, ..., n,

(3.1) [z.sub.i] = [e.sub.i] - [i-1.summation over (j=1)][<[e.sub.i], [z.sub.j]>.sub.A]/[<[z.sub.j], [z.sub.j]>.sub.A] [z.sub.j].

This is the classical Gram-Schmidt (CGS) process. The corresponding modified GramSchmidt (MGS) process can be implemented by updating the basis vector [z.sub.i] initialized as [z.sub.i] = [e.sub.i] (1 [less than or equal to] i [less than or equal to] n) by the following nested loop: for j = 1,2, ..., n, orthogonalize each [z.sub.i] (for i = j + 1, ..., n) against [z.sub.j] by

(3.2) [z.sub.i] = [z.sub.i] - [<[z.sub.i], [z.sub.j]>.sub.A]/[<[z.sub.j], [z.sub.j]>.sub.A] [z.sub.j].

This updating process allows discarding [z.sub.j] to free the memory once it is orthogonalized against all [z.sub.i] (for i = j + 1, ..., n). Let

[l.sub.ij] = [<[z.sub.i], [z.sub.j]>.sub.A]/[<[z.sub.j], [z.sub.j]>.sub.A] if i [greater than or equal to]j,

and set [l.sub.ij] =0 if i < j. Then L = [[l.sub.ij]] is a unit lower triangular matrix, and this process results in an A-orthogonal matrix Z = [[z.sub.1], [z.sub.2], ..., [z.sub.n]] such that I = Z[L.sup.T]. Then [Z.sup.T] AZ = D implies A = [LDL.sup.T], where D = diag[[d.sub.1], [d.sub.2], ..., [d.sub.n]] and [d.sub.j] = [<[z.sub.j], [z.sub.j]>.sub.A].

Clearly, by (3.1), [z.sub.i] [member of] span{[e.sub.1], [e.sub.2], ..., [e.sub.i]}, and Z is upper triangular. Since CGS (3.1) and MGS (3.2) are theoretically equivalent, (3.2) can be formulated as

[z.sub.i] = [z.sub.i] - [l.sub.ij][z.sub.j], with [l.sub.ij] = [<[e.sub.i], [z.sub.j]>.sub.A]/[<[z.sub.j], [z.sub.j]>.sub.A],

which is computationally more efficient (see [7]) for a problem like A = [C.sup.T]C. In addition, as A is sparse, [<[e.sup.i], [z.sub.j]>.sub.A] = [e.sup.T.sub.i]A[z.sub.j]. may be structurally zero for many i, j resulting in a sparse matrix L. The A-orthogonalization process can efficiently exploit the property [l.sub.ij] = 0 by skipping the corresponding orthogonalization step. Furthermore, one may also drop the entry [l.sub.ij] and skip the orthogonalization if [l.sub.ij] is sufficiently small. This would result in an incomplete factorization called robust incomplete factorization (RIF).

RIF has also been used in [9] to efficiently construct preconditioners for [C.sup.T] C for a full rank matrix C [member of] [R.sup.mxn] arising from the normal equation for the least squares problem. An advantage of RIF for [C.sup.T] C is that the [C.sup.T] C-orthogonalization process can be carried out using C only as

(3.3) [z.sub.i] = [z.sub.i] - [l.sub.ij][z.sub.j], with [l.sub.ij] = <C[z.sub.i], C[z.sub.j]>/<C[z.sub.j], C[z.sub.j]>,

for j = 1, 2, ..., n and i = j + 1, ..., n, where (*, *} is the Euclidean inner product. In this setting, the following CGS formulation of [l.sub.ij]

[z.sub.i] = [z.sub.i] - [l.sub.ij] [z.sub.j], with [l.sub.ij] = <C[e.sub.i], C[z.sub.j]>/<C[z.sub.j], C[z.sub.j]>

is preferred over the MGS formulation because of the need to compute C[z.sub.i] in MGS (3.3) each time [z.sub.i] is updated, whereas only C[e.sub.i] (the i-th column of C) is needed in CGS. Since we are only interested in an incomplete factorization by applying a dropping threshold for [z.sub.i] and [l.sub.ij], the difference in stability between CGS and MGS is not significant. Also, the computation of [l.sub.ij] requires forming C[z.sub.j] once for each [z.sub.j], which involves sparse-sparse matrix-vector multiplications and can be efficiently computed as a linear combination of a few columns of C; see [9]. We also observe that the inner products in [l.sub.ij] involve two sparse vectors as well.

If we multiply both sides of (3.3) by C, it is possible to get around the computation of [w.sub.i] := C[z.sub.i] as a matrix-vector multiplication in MGS (3.3) by computing it through the updating formula

(3.4) [w.sub.i] = [w.sub.i] - [l.sub.ij][w.sub.j], with [l.sub.ij] = <[w.sub.i], [w.sub.j]>/<[w.sub.j], [w.sub.j]>,

which maintains the MGS form. However, since the matrix L is all we need, it is not necessary in this formula to compute [z.sub.i] anymore. Indeed, since [w.sub.i] is initialized as C[e.sub.i], (3.4) is just the modified Gram-Schmidt process in the Euclidean inner product applied to the columns of C, and it becomes the MGS method for the QR factorization of C. However, with [w.sub.i] initialized as C[e.sub.i] and [z.sub.i] initialized as [e.sub.i], the generated sequence [w.sub.i] is expected to be much denser than the corresponding [z.sub.i], which appears to be the case in our experiments. This may be the main motivation of using the A-orthogonalization in RIF.

We observe that the same process can be extended to our problem of constructing an [LDL.sup.T] factorization for A := [C.sup.T] C - [mu]I with a shift [mu] [approximately equal to] [[sigma].sup.2.sub.1]. The corresponding orthogonalization process is

[z.sub.i] = [z.sub.i] - [l.sub.ij][z.sub.j], with [l.sub.ij] = <C[e.sub.i], C[z.sub.j]> - [mu]<[e.sub.i], [z.sub.j]>/<C[z.sub.j], C[z.sub.j]> - [mu]<[z.sub.j], [z.sub.j]>,

for j = 1, 2, ..., n and i = j + 1, ..., n. Now, if [mu] < [[sigma].sup.2.sub.1], then [C.sup.T] C - [mu]I is positive definite, and with the divisor in [l.sub.ij] being nonzero, the process is well defined.

If [mu] = [[sigma].sup.2.sub.1], then [C.sup.T] C - [mu]I is positive semidefinite and the process may encounter a zero division if <C[z.sub.j], C[z.sub.j]> - [mu]<[z.sub.j], [z.sub.j]> = 0 for some j. However, in this case, ([C.sup.T] C - [mu]I)[z.sub.j] = 0, and then <C[z.sub.i], C[z.sub.j]> - [mu]<[z.sub.i], [z.sub.j]> = 0 for any i. Then we do not need to carry out the orthogonalization against [z.sub.j]. Continuing the process, we still obtain [z.sub.1], [z.sub.2], ..., [z.sub.n] such that <C[z.sub.j], C[z.sub.i]> - [mu]<[z.sub.j], [z.sub.i]> = 0 but [Z.sup.T] AZ = D will have zeros in the diagonal. However, this does not cause any problem as we still have [C.sup.T]C - [mu]I = [LDL.sup.T], and by using a scaled L, we have D with 0 and 1 as diagonal elements. This is precisely the factorization needed; see (2.5).

If [mu] > [[sigma].sup.2.sub.1], then [C.sup.T] C - [mu]I is indefinite and the process may breakdown with the occurrence of <C[z.sub.j], C[z.sub.j]> - [mu]<[z.sub.j], [z.sub.j]> = 0 but ([C.sup.T]C - [mu]I)[z.sub.j] [not equal to] 0 for some j. In practice, the exact breakdown is unlikely, but we may encounter a near breakdown <C[z.sub.j], C[z.sub.j]> - [mu]<[z.sub.j], [z.sub.j]> [approximately equal to] 0, which may cause an instability in the process. However, since we are only interested in an incomplete factorization which incur a perturbation through dropping small elements, we propose to modify the pivot by simply setting <C[z.sub.j], C[z.sub.j]> - [mu] <[z.sub.j], [z.sub.j]> to some nonzero scalar such as the dropping threshold and skip the orthogonalization against [z.sub.j]. This perturbation is consistent with the dropping strategy in the incomplete factorization and would amount to a perturbation to [z.sub.j] of the order of magnitude of the dropping threshold. In any case, it only affects the quality of the preconditioner and hence efficiency of the overall algorithm, but it does not reduce the accuracy of the singular value computed by our method. In our experiences, the algorithm handles modest indefiniteness very well, but the quality of the preconditioner deteriorates as the matrix indefiniteness increases.

The incomplete [LDL.sup.T] factorization provided by RIF needs to be scaled so that D has diagonals equal to 0, [+ or -] 1 for its use as a preconditioner for the singular value problem. This can be achieved by multiplying L by [D.sup.1/2] on the right. The following is the RIF algorithm as adapted from [9] with the columns of L scaled.

ALGORITHM 3.1. Robust Incomplete Factorization of [C.sup.T] C - [mu]I. 1 Input: [[eta].sub.1] (drop threshold for L) and [[eta].sub.2] (drop threshold for Z); 2 initialization: Z = [[z.sub.1], [z.sub.2], ..., [z.sub.n]] = I; L = [[l.sub.ij]] = I [member of] [R.sup.nxn]; 3 For j = 1 to n 4 [d.sub.j] = <C[z.sub.j], C[z.sub.j]> - [mu]<[z.sub.j], [z.sub.j]>; 5 [l.sub.jj] = [square root of ([absolute value of ([d.sub.j])])]; 6 If [I.sub.jj] > max{[[eta].sub.1][[parallel]C[e.sub.j][parallel].sub.1]; u} 7 For i = j + 1 to n 8 [p.sub.ij] = <C[z.sub.j], C[e.sub.i]> - [mu]<[z.sub.j]. [e.sub.i]>; 9 If [absolute value of ([p.sub.ij])]/[l.sub.jj] [greater than or equal to] max{[[eta].sub.1] [[parallel]C[e.sub.j] [parallel].sub.1], u} 10 [z.sub.i] = [z.sub.i] - [p.sub.ij]/[d.sub.j] [z.sub.j] and [l.sub.ij] = sgn([p.sub.jj]) * [p.sub.ij]/ [l.sub.jj]; 11 If [absolute value of ([z.sub.i](l))] < [[eta].sub.2] [[parallel][z.sub.i][parallel].sub.1] for any l, set [z.sub.i] (l) =0; 12 End 13 End 14 Else 15 [l.sub.jj] =max{[[eta].sub.1][parallel]C[e.sub.j][parallel], u} 16 End 17 End

We present some remarks concerning Algorithm 3.1. At line 6, we test the divisor [l.sub.jj] for near-breakdown. If a near-breakdown occurs, we set [l.sub.jj] to the breakdown threshold max{[[eta].sub.1] [[parallel]C[e.sub.j][parallel].sub.1]; u} at line 15 and skip the orthogonalization process. Here, we note that the threshold is chosen to be relative to the norm of C[e.sub.j] as C[z.sub.j] is constructed from it through orthogonalization and u is added to the definition of the threshold to deal with the possible situation of C[e.sub.j] =0. We skip the orthogonalization of [z.sub.i] if [l.sub.ij] is below the given threshold max{[[eta].sub.1][[parallel]C[e.sub.j][parallel].sub.1]; u}. In that case, [l.sub.ij] is set to 0. To further improve the efficiency of the algorithm, we also apply a dropping rule to [z.sub.i] at line 11 by setting all entries of [z.sub.i] that are below the threshold [[eta].sub.2][[parallel][z.sub.i][parallel].sub.1]to 0. This will maintain Z as sparse as possible and improve the efficiency of the algorithm. In our experiments, the quality of the constructed preconditioner appears to depend more on the magnitude of [[eta].sub.2] than that of [[eta].sub.1]. So [[eta].sub.2] is chosen to be much smaller than r/1. In our implementation, we set [[eta].sub.1] = [10.sup.-3] and [[eta].sub.2] = [10.sup.-8] as the default values. Finally, on output, the algorithm produces an approximate factorization [C.sup.T] C - [mu]I [approximately equal to] [LDL.sup.T] with D having only 0, [+ or -] 1 as diagonal elements.

4. Robust implementation. One advantage of the inverse-free preconditioned Krylov subspace method is its simplicity of the implementation with the number of inner iterations being the only parameter to select. We have implemented Algorithm 2.3 in combination with the RIF preconditioner (Algorithm 3.1) in a black-box MATLAB implementation for the singular value problem. The program called svdifp is used in our numerical tests.

Our program svdifp is based on the MATLAB program eigifp [32], which implements the inverse-free preconditioned Krylov subspace method with several algorithmic enhancements for the generalized eigenvalue problem. We have incorporated many features of eigifp into our implementation, but the core iteration involves the construction of the proj ection of C as outlined in Algorithm 2.3. Noting that for Algorithm 2.3, the only required user input is m (the inner iteration) and a preconditioner, we have adopted the same strategy used in eigifp in determining m; see [32]. Namely, m can be either specified by the user or, by default, adaptively determined by the program according to its effect on the rate of convergence. Note that experiments have shown that an optimal value of m is larger if the problem is more difficult, while it is smaller if the problem is easier (e.g., with a good preconditioner). On the other hand, to determine a preconditioner, we first need an approximate singular value as a shift for the RIF preconditioner. Here different strategies will be used depending on whether computing the largest or the smallest singular values is the goal.

For computing the smallest singular value, we assume 0 is a good initial approximate singular value, and, using 0 as the shift, we compute a preconditioner by Algorithm 3.1 and carry out a preconditioned iteration.

For computing the largest singular value, the standard Lanczos bidiagonalization algorithm [17] should work well because the spectral separation is typically doubled through the CTC formulation (1.1), i.e.

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII].

However, for problems with clustered largest singular values, the preconditioning approach can still be very beneficial. One difficulty then is that there is no good approximate singular value readily available initially, and no preconditioner can be derived. Following the strategy in eigifp [32], we start the iteration with no preconditioning, and when a sufficiently good approximate singular value [sigma] has been found as determined by the residual, we compute a preconditioner for [C.sup.T]C - [mu]I by Algorithm 3.1 with the shift [mu] = [[sigma].sup.2] + [r.sub.p] and then continue the iteration with preconditioning, where [r.sub.p] is the residual and hence p, is an upper bound for the true singular value. This typically leads to accelerated convergence.

In both cases, the program monitors the approximate singular value obtained and the convergence rate and may update the preconditioner using an updated approximate singular value as the shift if a significant deviation of the singular value from the shift is detected. The same strategy is followed when computing several singular values with deflation. The program can be run with no required user input. However, it also allows various optional parameters, which the user may supply to improve performance. These include the inner iteration m, the RIF thresholds, an initial approximate singular value (which can be used to compute a preconditioner), or a preconditioner itself, among others.

5. Numerical examples. In this section, we present some numerical examples to demonstrate the capability and efficiency of the preconditioned inverse-free Krylov subspace method for the singular value problem. We compare our MATLAB implementation svdifp with several existing programs (i.e., irlba of Baglama and Reichel [3], jdsvd of Hochstenbach [21, 22], lansvd of Larson [29], and svds of MATLAB, which is based on ARPACK [30] of Lehoucq, Sorenson, and Yang). The program irlba [3] implements an augmented implicitly restarted Lanczos bidiagonalization algorithm. The program j dsvd [21, 22] implements a Jacobi-Davidson method on the augmented matrix formulation. (Note that a program based on the Jacobi-Davidson method for [C.sup.T]C has also been developed recently [23].) The code lansvd [29] implements the Lanczos bidiagonalization algorithm for [R.sup.-1] from the QR factorization of C = QR for computing the smallest singular value. The MATLAB program svds implements ARPACK [30] and uses the inverse of M (or M - [mu]I) in the formulation (1.2) for computing the smallest singular value. We note that svdifp and jdsvd compute one singular value at a time, while irlba, lansvd, and svds can compute several singular values simultaneously. On the other hand, svdifp and jdsvd can use preconditioners to accelerate convergence, while irlba, lansvd, and svds have to use the shift-and-invert approach.

In the first three examples, we test the programs on computing the smallest singular value, while in the fourth example we demonstrate the capability of svdifp in computing several of the largest singular values using deflation. All the executions were carried out using MATLAB version 8.0.0.783 from MathWorks on a PC with an Intel quad-core i7-2670QM with 2.20GHz and 12 GB of RAM running Ubuntu Linux 12.04. The machine epsilon is u [approximately equal to] 2.2 * [10.sup.-16]. The performance parameters we consider for comparisons are the residual of the approximate singular triplet obtained, the number of matrix-vector multiplications where applicable, and the CPU time. The CPU time is gathered with on-screen outputs suppressed. For the methods that require some factorization of the matrix, we also consider the number of non-zeros in the factors, which indicates the memory requirements and their potential limitations.

We first present an example that tests the capability of svdifp to compute tiny singular values accurately. We also show that applying eigifp directly to the eigenvalue problem for [C.sup.T]C may result in a loss of accuracy for the computed singular value. Here, in using eigifp, the matrix-vector multiplication [C.sup.T] Cx is obtained by computing Cx first and then multiplying by [C.sup.T]. Even though [C.sup.T] C is not explicitly formed, the singular value is obtained from the projection of CTC, potentially resulting in a loss of accuracy; see the discussion in Section 2.

Example 5.1. We consider the following matrix

[MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII]

where D = diag(1,1/[2.sup.4], ..., 1/[n.sup.4]) and U and V are random orthogonal matrices generated by U=orth(rand(m,m)) and V=orth(rand(n,n)) in MATLAB. We test and compare the accuracy of the smallest singular value computed by svdifp and eigifp with n =100 and m = 100 or m = 200. In either case, the exact smallest singular value of C is [[sigma].sub.1] = [10.sup.-8], and the second smallest singular value is approximately 1.041 * [10.sup.-8]. The convergence is tested using the criterion [parallel][C.sup.T]C[v.sub.1] - [[sigma].sup.2.sub.1][v.sub.1][parallel] < [eta] [[parallel]C[parallel].sup.2], and to achieve the best accuracy possible, we use a very small threshold n = 10-19 and run the iteration until the residual stagnates. Both methods are run without preconditioning and with the number of inner iteration set to 20.

Table 5.1 lists the best smallest singular values and their residuals obtained. For svdifp, with k(C) = [10.sup.8], the residual deceases to about [10.sup.-18] and the computed value of [[sigma].sub.1] has a relative error of the order of [10.sup.-10] [approximately equal to] uk(C). This is the best accuracy one may expect from a backward stable method. On the other hand for eigifp, the residual decreases and then stagnates at around [10.sup.-16]. The relative error of the computed singular values oscillates around [10.sup.-4], and no better approximation can be obtained. The singular value computed by applying eigifp directly lost about 5 digits of accuracy in this case.

It is interesting to observe that with a good preconditioning, eigifp appears to be able to compute [[sigma].sub.1] accurately. Note that C is a dense matrix and the default preconditioner constructed by eigifp is the (complete) [LDL.sup.T] factorization. However, if we use a preconditioner that is constructed from [A.sup.T] A by artificially dropping the entries of A that are smaller than [10.sup.-3], then a similar loss of accuracy occurs.

Next, we test and compare svdifp with several existing programs for the SVD on computing the smallest singular value for a set of test problems. The test matrices consist of both square and non-square matrices taken from the Matrix Market [11] and the University of Florida Sparse Matrix Collection [12]. They are listed in Table 5.2 together with some basic information on the matrices (the smallest singular values are computed by MATLAB's svd (full (A))).

Since these programs may have very different approaches and have different assumptions on computing resources, we carry out the tests in two different settings. We first consider those programs in Example 5.2 that do not use any exact factorization for the inverse, i.e., svdifp, jdsvd, and irlba. Since svdifp and jdsvd can be implemented with or without preconditioning, we test them first with preconditioning and then without preconditioning together with irlba. In the second test (Example 5.3), we consider svds and lansvd, where the LU factorization of M and the QR factorization of C are respectively computed for the shift-and-invert. To facilitate a comparison, we consider svdifp using the R factor from the QR factorization of C as a preconditioner. Namely, if a complete factorization is possible, svdifp may also take advantage of it by using a more effective preconditioner although this is not the best way to use the program.

Example 5.2. We consider the performance of svdifp, jdsvd, and irlba in computing the smallest singular value of the matrices in Table 5.2. For matrices with m < n, we consider their transposed instead. We set the initial vector for all three methods to be the same random vector generated by randn (n,1). We also select the parameters in the three codes so that each method carries out about the same number of matrix-vector multiplications in each inner iteration. Specifically, for svdifp, we set the number of inner iterations m to 10. In jdsvd, the maximum number of steps of the inner linear solver is set to 10, which is also its default value. We use the default settings of jdsvd for all other parameters. In particular, the refined extraction of the Ritz vector is used throughout, and the dimension of the search subspace varies between 10 and 20. In irlba, we set k = 1 (the number of desired singular values) and adjust = 8 (the number of initial vectors added to the k restart vectors to form an initial subspace). They are chosen so that the dimension of the initial subspace is consistent with the default choices: k = 6, adjust = 3. All other parameters in irlba are set to their default values. Then irlba applies 10 bidiagonalization steps after each restart. Based on these settings, all three methods carry out approximately 22 matrix-vector multiplications (by C or CT) in each outer iteration. We set the maximum number of outer iterations to 10000 for all, and, unless stated otherwise, the stopping criterion is

(5.1) Res := [parallel][C[v.sub.1] - [[sigma].sub.1][u.sub.1];[C.sup.T][u.sub.1] - [[sigma].sub.1][v.sub.1]][parallel]/[[parallel]C[parallel].sub.1]< [10.sup.-6],

where ([[sigma].sub.1]; [u.sub.1], [v.sub.1]) is the approximate singular triplet obtained at step k.

We first compare svdifp and jdsvd, both of which allow using preconditioning to accelerate convergence. In svdifp, the default RIF preconditioner is used, i.e., an incomplete factorization of [C.sup.T] C is constructed by Algorithm 3.1 with the default choices of thresholds [[eta].sub.1] = [10.sup.-3] and [[eta].sub.2] = [10.sup.-8]. In jdsvd, a preconditioner is needed for solving a correction equation in the inner iteration, and we use the routine create_prec_j dsvd. m that accompanies jdsvd to construct a preconditioner for M. Specifically, for square matrices, we compute the ILU factorization of C, from which a preconditioner for M is constructed. For non-square matrices, we compute the ILU factorization of M, but because of the singularity of M, breakdown often occurs, in which case the ILU factorization of a shifted matrix M - [mu]I is used where [mu] = [2.sup.p] * [10.sup.-2] [[parallel]M[parallel].sub.max] and p is the first non-negative integer that stops the breakdown. The dropping threshold for all ILU factorizations is [10.sup.-3]. In addition, jdsvd uses BiCGSTAB [41] as the inner linear solver when a preconditioner is present.

In Table 5.3 the results of this test are presented. In the table, nnz is the number of non-zeros in the preconditioner (L for svdifp and both L and U for jdsvd). In the MV column, we list the number of matrix-vector multiplications by either C or [C.sup.T]. Res is the relative residual of the approximate singular triplet (5.1).

We observe that svdifp achieves satisfactory convergence within 10000 iterations in all problems. For matrices 18 and 19, the singular values are extremely small and therefore the residual of the singular triplet computed by (2.11) is not expected to converge. For these two problems, the termination criterion is switched to using the eigenvalue residual [parallel] [C.sup.T] C[v.sub.i] - [[sigma].sup.2.sub.1][v.sub.1][parallel] instead when a singular value of the order of the machine precision is detected (see the discussion on the left singular vectors in Section 2), and then, even though Res is fairly large, the computed singular values, which are given in the footnotes, are actually very good approximations already. Therefore, with the limitation of not returning any good left singular vector in such cases, svdifp still produces good approximate singular values and right singular vectors. jdsvd also achieve satisfactory convergence within 10000 iterations in all but problems 13 and 17. For those two problems, the preconditioned linear solvers in the inner iterations of jdsvd converge early in less than the maximum 10 iterations allowed, which is why the total matrix-vector multiplications are less than the maximum possible. Matrix 17 is also a difficult problem with 138 singular values clustered between 1.41421 and 1.41425. In terms of performance measured by MV and CPU, jdsvd outperforms the other methods slightly for square problems, while svdifp does that for non-square problems. In terms of nnz, RIF in svdifp has substantially less memory requirement.

We next compare svdifp and jdsvd without preconditioning. They are also compared with irlba. When no preconditioner is present, j dsvd uses MINRES as the inner linear solver. For irlba, we only report its results with a one-sided full reorthogonalization, which is the default setting. We list the results of this test in Table 5.4. Forproblems 18and 19 with extremely small singular values, the convergence test is switched to use the eigenvalue residual [parallel][C.sup.T]C[v.sub.1] - [[sigma].sup.2.sub.1][v.sub.1][parallel], but at termination, the residual of the singular triplet with the left singular vector computed by (2.12) has actually converged to a satisfactory level. Nevertheless, we list the computed singular values and the eigenvalue residuals in the footnotes. We note that, without preconditioning, svdifp converges much more slowly than the ones with preconditioning, and it appears that the additional iterations have resulted in a substantially reduction of the singular triplet residual. We do not expect this to be the case in general.

It appears that all three methods are comparable in convergence with each method outperforming in some problems. For non-square matrices, irlba has the best results outperforming in most problems. Note that svdifp without preconditioning is simply the restarted Lanczos method with the LOBPCG-type subspace enhancement. On the other hand, irlba is also essentially the Lanczos method, but, with the implicit restart, it uses a larger projection subspace with the same number of matrix-vector multiplications in each restart. Therefore, irlba may be expected to outperform svdifp without preconditioning in most cases. We also note that the performance of svdifp (Table 5.4) is significantly improved by preconditioning (Table 5.3). Several difficult problems with slow convergence are solved fairly easily after preconditioning. With a drop tolerance of 10-3, the RIF preconditioner appears to produce a good preconditioner that also has a relatively small number of fill-ins. Indeed, the number of non-zeros in L (Table 5.3) is typically 2 to 3 times that of C (Table 5.2).

Example 5.3. In this example, we compare svdifp with svds and lansvd. For computing the smallest singular value, svds is based on applying ARPACK [30] to [M.sup.-1] or the shift-and-invert matrix [(M - [mu]I).sup.-1]. lansvd computes the QR factorization by R = qr(C,0) in MATLAB and then computes the largest singular value of [R.sup.-1] by the Lanczos bidiagonalization algorithm. For comparison, we use R = qr(C,0) as the preconditioner for svdifp. This approach runs into difficulty if R is singular or nearly singular. Indeed, lansvd breaks down in such situations (problems 18 and 19). An advantage with svdifp is that R is only used as a preconditioner and its accuracy only affects the speed of convergence but not the accuracy of the computed singular values. Therefore, we can simply perturb the zero or nearly zero diagonal entries of R to deal with its singularity. For singular or nearly singular R, it is important to use a column pivoting in the QR factorization but MATLAB's R = qr(C,0) employs a column approximate minimum degree permutation to minimize fill-ins. For this test, if the resulting R is nearly singular, we compute a QR factorization by [~,R,e] = qr(C,0), which appears to employ a column pivoting. We then set the diagonal elements of R that are less than the threshold [square root of (u)][[parallel]R[parallel].sub.1] to the threshold to construct a preconditioner for svdifp.

All three codes require no additional input parameters other than the matrix, but we set the initial vector to the same random vector for all of them. We run the programs until convergence as determined by the algorithms themselves. We compare the residual Res defined by (5.1), the CPU time, as well as the number of non-zeros used in the factorizations (nnz). For svdifp and lansvd, nnz is the number of non-zeros in R, and for svds, it is the total non-zeros in L and U of the LU-factorization of M.

The results are given in Table 5.5. All three methods perform comparably for square matrices. svds with the zero shift fails for all non-square matrices because of the singularity of M, which is marked by "-" in the table. Even using a small nonzero shift, svds usually converges to the eigenvalue 0 rather than [[sigma].sub.1]. svdifp and lansvd can both solve nonsquare problems with comparable performances. However, lansvd can fail for matrices that are nearly rank deficient (problems 18 and 19, marked by "-") because of the inversion of a singular or nearly singular matrix R. On the other hand, svdifp does not suffer from a similar problem because R is slightly perturbed to be used as a preconditioner. Overall, svdifp appears most robust in this setting.

Finally, we consider svdifp for computing several of the largest singular values with deflation. With the shifts chosen inside the spectrum now, RIF constructs an [LDL.sup.T] factorization for an indefinite matrix [C.sup.T] C - [mu]I. So, this also demonstrates the capability of RIF to work with indefinite matrices.

Example 5.4. We consider svdifp with and without preconditioning in computing the 5 largest singular values of the matrix 15 (lp_ganges) in Table 5.2. In both cases, we set the termination threshold to 1 * [10.sup.-10], and the number of outer iterations to 10000. To compute the largest singular value, svdifp adaptively chooses a shift for preconditioning; see Section 4. When computing the next largest singular value, the mean of the largest and the second largest singular values of the projection matrix constructed in computing the previous largest singular value is used as the shift to compute an RIF preconditioner. Then, svdifp proceeds with a deflated preconditioned iteration. Note that the second largest singular value of the projection matrix is a lower bound of the singular value to be computed and the mean value should provide a better estimate. The same procedure is used for the additional singular values.

We present the results with and without preconditioning for the 5 largest singular values in Table 5.6. We list the number of matrix-vector multiplications (by C or [C.sup.T]) used for each singular value, the residual Res obtained, and in the preconditioned case, the shift p used. We note that both methods can compute the singular values correctly, while preconditioning by RIF significantly accelerates the convergence of svdifp. In particular, the shifted matrix is indefinite now but with the modest indefiniteness in computing a few extreme singular values, RIF results in a very effective preconditioner.

6. Concluding remarks. We have presented an inverse-free preconditioned Krylov subspace algorithm for computing a few of the extreme singular values of a rectangular matrix. The robust incomplete factorization (RIF) has been adapted to efficiently construct preconditioners for the shifted matrix [C.sup.T] C - [mu]I. A preliminary MATLAB implementation has been developed and is demonstrated to be very competitive compared to other existing programs in both settings of using preconditioners or shift-and-invert. A major disadvantage of our approach or the [C.sup.T] C formulation in general appears to be the potential difficulty in computing left singular vectors corresponding to tiny singular values. This is a problem that we plan to further study. We also plan to refine the MATLAB program svdifp and make it available for download in the near future.

Acknowledgment. We would like to thank Michiel Hochstenbach, Patrick Quillen, and Lothar Reichel for some illuminating discussions. In particular, we thank Michiel Hochstenbach for providing us with the code for jdsvd and his numerous comments on the svdifp code, Michele Benzi and Miroslav Thma for providing us with their code for RIF, and Lingfei Wu for testing our code svdifp [44] and providing numerous comments. We would also like to thank the anonymous referees for many valuable comments that have significantly improved the paper.

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QIAO LIANG([dagger]) AND QIANG YE ([dagger])

* Received October 17, 2013. Accepted October 28, 2014. Published online on December 10, 2014. Recommended by Yousef Saad. The first author is supported in part by NSF under Grant DMS-1317424. The second author is supported in part by NSF under Grant DMS-1317424 and DMS-1318633.

([dagger]) Department of Mathematics, University of Kentucky, Lexington, KY 40506, USA ({qiao.liang,qye3@uky.edu).

TABLE 5.1 Example 5.1. [[sigma].sub.1]: computed smallest singular value by svdifp and eigifp, Res: [parallel] [C.sup.T] C[v.sub.i] - [[sigma].sup.2.sub.1][v.sub.1]. m = 100 m = 200 [[sigma].sub.1] Res [[sigma].sub.1] Res svdifp 1.0000000008e-08 1e-20 1.00000000001e-08 2e-20 eigifp 1.0001e-08 8e-17 1.00008e-8 8e-17 TABLE 5.2 Test matrices used for Examples 5.2 and 5.3 No. Matrix Size Non-zeros [[sigma].sub.1] Square Matrix 1 dw2048 2048 x 2048 10114 4.68e-4 2 fidap004 1601 x 1601 31837 6.57e-4 3 hor131 434 x 434 41832 1.53e-5 4 jagmesh1 936 x 936 6264 5.63e-3 5 lshp 3025 x 3025 20833 1.03e-4 6 pde2961 2961 x 2961 14585 1.62e-2 7 pores3 532 x 532 3474 2.67e-1 8 sherman 1000 x 1000 3750 3.23e-4 Rectangular Matrix 9 well1033 1033 x 320 4372 1.09e-2 10 well1850 1850 x 712 8755 1.61e-2 11 lpi_cplex1 5224 x 3005 10947 6.39e-2 12 qiulp 1900 x 1192 4492 7.57e-1 13 ge 10099 x 16369 44825 1.08e-3 14 p010 10099 x 19090 118000 1.50e-1 15 lp_ganges 1309 x 1706 6937 1.87e-4 16 cep1 1521 x 4769 8233 1.00e0 17 gen2 1121 x 3264 81855 1.41e0 18 Maragal_5 3320 x 4654 93091 7.11e-46 19 lp_ship12s 1151 x 2869 8284 0 No. Matrix [kappa](C) source Square Matrix 1 dw2048 2.03e3 Matrix Market 2 fidap004 2.39e3 Matrix Market 3 hor131 4.31e4 Matrix Market 4 jagmesh1 1.23e3 Matrix Market 5 lshp 6.78e4 Matrix Market 6 pde2961 6.42e2 Matrix Market 7 pores3 5.61e5 Matrix Market 8 sherman 1.56e4 Matrix Market Rectangular Matrix 9 well1033 1.66e2 Matrix Market 10 well1850 1.11e2 Matrix Market 11 lpi_cplex1 3.13e3 UFLSMC 12 qiulp 4.08e1 UFLSMC 13 ge 1.28e7 UFLSMC 14 p010 1.18e2 UFLSMC 15 lp_ganges 2.13e4 UFLSMC 16 cep1 1.49e1 UFLSMC 17 gen2 3.35e1 UFLSMC 18 Maragal_5 2.30e46 UFLSMC 19 lp_ship12s -- UFLSMC TABLE 5.3 Example 5.2 with preconditioning. CPU: CPU time, MV: # of matrix/ vector multiplications, nnz: number of non/zeros of the preconditioner, Res: [parallel][C[v.sub.1] / [[sigma].sub.1][u.sub.1] [C.sup.T] [u.sub.1] / [[sigma].sub.1][v.sub.1]] [parallel]/[[parallel]C[parallel].sub.1] svdifp No. CPU MV nnz Res Square Matrix 1 0.6 179 25564 9e-7 2 1.5 223 91593 1e-7 3 0.6 3545 15719 5e-7 4 0.4 289 33065 6e-7 5 7.3 1103 170276 8e-7 6 1.9 113 69291 3e-8 7 0.04 25 4870 3e-13 8 0.2 355 13695 3e-7 Rectangular Matrix 9 0.03 91 2235 2e-10 10 0.08 69 6325 7e-8 11 0.4 69 8995 2e-7 12 0.2 91 13620 1e-8 13 10.4 91 110017 5e-7 14 13.1 157 138793 2e-7 15 0.3 91 18573 9e-9 16 2.0 113 106822 3e-8 17 4.3 267 297609 9e-7 18 28.0 24 997991 3e-2 (a) 19 0.08 24 6868 7e-2 (b) jsvd No. CPU MV nnz Res Square Matrix 1 0.4 136 49019 2e-11 2 0.9 102 179673 2e-8 3 0.1 148 11740 3e-10 4 0.7 146 67112 6e-10 5 1.7 100 425650 6e-10 6 0.3 126 89000 2e-9 7 0.09 96 46461 3e-7 8 0.1 84 11630 2e-7 Rectangular Matrix 9 2.8 750 59291 1e-7 10 9.6 426 312083 1e-7 11 9.0 320 49318 2e-7 12 1.2 350 94671 3e-7 13 1689 20052 141008 1e-4 14 474 438 11276604 1e-7 15 10.6 358 421304 2e-13 16 1.1 266 41793 6e-7 17 36023 36846 8055182 1e-3 18 9002 3744 8666363 7e-7 19 0.5 136 65642 4e-8 (a) Forthis matrix, [[sigma].sub.1] = 7.11e-46 according to MATLAB's svd. Although Res = 3e-2, the residual defined by [parallel][C.sup.T] C[v.sub.1] - [[sigma].sup.2.sub.1][v.sup.2.sub.1][parallel] is 3e-24, while the computed singular value is 2e-25. The singular values returned by jdsvd for this matrix is 3e-5. Also note that 113 singular values of this matrix are smaller than the machine precision and the second smallest is 1.7e-31. (b) For this matrix, [[sigma].sub.1] =0 according to MATLAB's svd. Although Res = 6e-2, the residual defined by [parallel][C.sup.T] C[v.sub.1] - [[sigma].sup.2.sub.1][v.sup.2.sub.1][parallel] is 2e-25, while the computed singular value is 4e-27. The singular values returned by jdsvd for this matrix is 6e-7. Also note that 35 singular values are smaller than the machine precision. The second smallest singular value is 0 as well and the third one is 1.3e-18. TABLE 5.4 Example 5.2 without preconditioning. CPU: CPU time, MV: # of matrix/ vector multiplications, Res: [parallel][C[v.sub.1] / [[sigma].sub.1][v.sub.1]; [C.sup.T] [u.sub.1] - [[sigma].sub.1] [v.sub.1]][parallel]/[parallel]C[[parallel].sub.1]. svdifp jdsvd No. CPU MV Res CPU MV Res Square Matrix 1 2.2 8033 1e-06 2.1 7542 9e-7 2 4.9 18901 1e-06 6.0 21830 1e-6 3 20.1 220002 5e-04 34.8 220038 1e-5 4 9.5 81227 1e-06 4.8 26308 9e-7 5 27.3 69457 1e-06 20.7 62476 1e-6 6 3.5 9023 1e-06 3.0 9280 1e-6 7 21.1 220002 2e-03 35.7 220038 2e-5 8 15.1 127185 9e-07 23.7 127134 1e-6 Rectangular Matrix 9 1.2 7153 1e-06 0.4 2284 6e-7 10 0.5 2467 8e-07 0.6 2262 1e-6 11 0.7 1697 1e-06 0.4 1074 6e-7 12 0.3 1257 1e-06 0.7 2900 1e-6 13 500 220002 1e-03 189 220038 3e-5 14 18.4 6669 1e-06 2.0 1866 1e-6 15 0.1 553 1e-06 0.3 1008 1e-6 16 0.1 245 2e-07 0.08 238 1e-7 17 0.9 2269 8e-07 3.8 9918 9e-7 18 122 228135 9e-06 (a) 116 220038 2e-6 19 0.6 2034 7e-16 (b) 2.3 8136 6e-7 irlba No. CPU MV Res Square Matrix 1 2.8 13856 9e-7 2 21.9 104496 8e-7 3 25.9 220018 2e-2 4 13.4 90350 1e-6 5 59.8 220018 3e-2 6 6.1 23668 9e-7 7 27.2 220018 2e-2 8 32.6 220018 3e-2 Rectangular Matrix 9 0.2 1206 7e-8 10 0.3 1888 8e-8 11 0.2 634 2e-7 12 0.2 1228 1e-7 13 167 220018 2e-2 14 2.8 2856 6e-8 15 0.09 480 9e-8 16 0.02 62 9e-9 17 62 220018 5e-7 18 94 220018 3e-3 19 0.2 942 7e-8 (a) For this matrix, the residual definedby [parallel][C.sup.T]C[v.sub.1] - [[sigma].sup.2.sub.1] [v.sup.2.sub.1][parallel] is 2e-15, while the computed singularvalue is 1e-12. The singular values returned by j dsvd is 5e-10. The singular values returned by irlba is 6e-7. (b) For this matrix, the residual definedby [parallel][C.sup.T]C[v.sub.1] - [[sigma].sup.2.sub.1] [v.sup.2.sub.1][parallel] is3e-14, while the computed singularvalue is9e-15. The singular values returned by j dsvd is 1e-14. The singular values returned by irlba is 4e-16. TABLE 5.5 Example 5.3. CPU: CPU time, nnz: non-zeros of R or L and U, Res: [parallel][C[v.sub.1] - [[sigma].sub.1][u.sub.1]; [C.sup.T][u.sub.1] - [[sigma].sub.1][v.sub.1]][parallel]/ [parallel]C[[parallel].sub.1]. svdifp svds No. CPU nnz Res CPU nnz Res Square Matrix 1 0.05 83918 1e-16 0.09 193650 4e-15 2 0.1 249160 6e-17 0.1 259562 5e-16 3 0.01 29165 2e-15 0.04 99351 5e-16 4 0.01 35267 9e-13 0.05 69421 1e-15 5 0.1 196083 4e-16 0.2 439407 4e-15 6 0.06 142050 5e-15 0.1 279930 4e-14 7 0.01 8561 9e-13 0.03 52239 5e-17 8 0.01 32816 2e-16 0.05 49971 3e-16 Rectangular Matrix 9 0.01 2974 2e-13 -- -- -- 10 0.01 9209 1e-12 -- -- -- 11 0.8 1514019 1e-14 -- -- -- 12 0.06 48470 2e-12 -- -- -- 13 0.4 313320 8e-11 -- -- -- 14 0.6 505993 8e-16 -- -- -- 15 0.02 30975 1e-17 -- -- -- 16 0.4 263226 9e-12 -- -- -- 17 54.7 550793 1e-10 -- -- -- 18 10.2 2046096 5e-2 (a) -- -- -- 19 2.3 7336 5e-17 (b) -- -- -- lansvd No. CPU nnz Res Square Matrix 1 0.04 83918 2e-13 2 0.09 249160 7e-14 3 0.01 29165 3e-11 4 0.02 35267 3e-10 5 0.08 196083 3e-12 6 0.06 142050 4e-13 7 0.01 8561 2e-15 8 0.02 32816 2e-13 Rectangular Matrix 9 0.01 2974 4e-11 10 0.01 9209 2e-10 11 0.6 1514019 7e-16 12 0.05 48470 2e-13 13 0.3 313320 8e-15 14 0.3 505993 2e-12 15 0.02 30975 4e-14 16 0.2 263226 8e-11 17 15.6 550793 1e-16 18 -- -- -- 19 -- -- -- (a) For this matrix, the residual defined by [parallel][C.sup.T]C[v.sub.1] - [[sigma].sup.2.sub.1] [v.sup.2.sub.1][parallel] is 8e-17, while the computed singular value is 2e-17. (b) Forthis matrix, the residual defined by [parallel][C.sup.T]C[v.sub.1] - [[sigma].sup.2.sub.1] [v.sup.2.sub.1][parallel] is 3e-15, whilethe computed singular value is3e-16. TABLE 5.6 Example 5.4: 5 largest singular values of matrix lp_ganges. [[sigma].sub.k]: singular value, [mu]: shift used for preconditioning, MV: # of matrix-vector multiplications, Res: [parallel][C[v.sub.i] - [[sigma].sub.1][u.sub.1]; [C.sub.T] [u.sub.1] - [[sigma].sub.1][v.sub.1]] [parallel]/[parallel]C[[parallel].sub.1]. preconditioning no preconditioning [mu] MV Res MV Res 3.9908 3.9926 91 3e-12 443 5e-11 3.9906 3.9907 91 2e-14 289 9e-11 3.9895 3.9900 91 1e-13 531 7e-11 3.9894 3.9895 91 5e-13 641 4e-11 3.9892 3.9893 91 4e-12 1103 6e-11

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Author: | Liang, Qiao; Ye, Qiang |
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Publication: | Electronic Transactions on Numerical Analysis |

Article Type: | Formula |

Geographic Code: | 1USA |

Date: | Aug 1, 2014 |

Words: | 16965 |

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