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Properties of SVD of a hermitian matrix not holding at single precision

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Michael 2020년 9월 24일
답변: Christine Tobler 2020년 9월 28일
I came accross something I did not expect and I was hoping for some insight.
I am working on a project that includes dozens of very large and dense hermitian matrices. To try and reduce the amount of memory used by my code, I am storing these matrices at single precision and I am also attempting to use a low-rank approximation of these matrices during execution.
Since these matrices are hermitian, I am anticipating the following to be true:
  1. I should be able to express these matrices as, where S and V come from the singular value decomposition of A.( [~, S, V] = svd(A) )
  2. For a rank k approximation of A,
Ak = V(:,1:k) * S(1:k,1:k) * V(:,1:k)';
That the frobenius norm of A-Ak should be equal to the k+1 singular value (that is, norm(A-Ak) == S(k+1) )
What I am finding is that 2) is not holding true if I run the svd() function on matrix A, when it is in single precision. However, if I convert the arrays to double before running the SVD, 2) holds true. It also holds true if I convert S and V back to single precision after running the SVD function.
Is this really a precission issue? The smallest singular value of my matrice is 1e-6 so I wasn't expecting a single precission array to be an issue. Any insight would be greatly appreciated.
Thank you in advance!
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Bruno Luong
Bruno Luong 2020년 9월 25일
Stupid question but do you take care of M numerically hermitian by running
before anything?
As David rightly pointout, spectral norm equality holds, not Frobenius norm (the later has little meaning interpretation).
Also don't expect SVD to return U == V, even for Hermitian matrix A, there is always an arbitrary phase-shift (sign) in SVD so that
U*diag(epx(1i*theta)) ~= V
with theta arbitrary (real) phase.
To get S and V such that V*S*V' = A

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Christine Tobler
Christine Tobler 2020년 9월 28일
I'd suggest just calling EIG
[V, S] = eig(A)
instead of calling the SVD. If A is (exactly!) symmetric on input, this will return S and V such that V*S*V' == A, and you can check if A is numerically S.P.D. by seeing if S contains any negative numbers (if A is symmetric positive semi-definite, there are likely to be some negative up to round-off values). With the SVD, such a small number would be returned as a positive, and the associated vectors in U and V would have different signs.
If there are values on S's diagonal that are negative at round-off level, you can decide if you have to stop the algorithm, or if it's all right to just set these diagonal values as zero.

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