Randomized methods for rank-deficient linear systems

Josef Sifuentes, Zydrunas Gimbutas, Leslie Greengard

Research output: Contribution to journalArticle

Abstract

We present a simple, accurate method for solving consistent, rank-deficient linear systems, with or without additional rank-completing constraints. Such problems arise in a variety of applications such as the computation of the eigenvectors of a matrix corresponding to a known eigenvalue. The method is based on elementary linear algebra combined with the observation that if the matrix is rank-k deficient, then a random rank-k perturbation yields a nonsingular matrix with probability close to 1.

Original languageEnglish (US)
Pages (from-to)177-188
Number of pages12
JournalElectronic Transactions on Numerical Analysis
Volume44
StatePublished - Jan 1 2015

Keywords

  • Eigenvectors
  • Integral equations
  • Null space
  • Null vectors
  • Randomized algorithms
  • Rank-deficient systems

ASJC Scopus subject areas

  • Analysis

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