In many applications a matrix has less than full rank, that is, . Sometimes, is known, and a full-rank factorization with and , both of rank , is given—especially when or . Often, though, the rank is not known. Moreover, rather than being of exact rank , is merely close to a rank matrix because of errors from various possible sources.

What is usually wanted is a factorization that displays how close is to having particular ranks and provides an approximation to the range space of a lower rank matrix. The ultimate tool for providing this information is the singular value decomposition (SVD)

where , , and and are orthogonal. The Eckart–Young theorem says that

and that the minimum is attained at

so is the best rank- approximation to in both the -norm and the Frobenius norm.

Although the SVD is expensive to compute, it may not be significantly more expensive than alternative factorizations. However, the SVD is expensive to update when a row or column is added to or removed from the matrix, as happens repeatedly in signal processing applications.

Many different definitions of a rank-revealing factorization have been given, and they usually depend on a particular matrix factorization. We will use the following general definition.

Definition 1.A rank-revealing factorization (RRF) of is a factorization

where , is diagonal and nonsingular, and and are well conditioned.

An RRF concentrates the rank deficiency and ill condition of into the diagonal matrix . An RRF clearly exists, because the SVD is one, with and having orthonormal columns and hence being perfectly conditioned. Justification for this definition comes from a version of Ostrowski’s theorem, which shows that

where . Hence as long as and are well conditioned, the singular values are good order of magnitude approximations to those of up a scale factor.

Without loss of generality we can assume that

(since for any permutation matrix and the second expression is another RRF). For we have

so is within distance of order from the rank- matrix , which is the same order as the distance to the nearest rank- matrix if .

Definition 2 is a strong requirement, since it requires all the singular values of to be well approximated by the (scaled) diagonal elements of . We will investigate below how it compares with another definition of RRF.

## Numerical Rank

An RRF helps to determine the numerical rank, which we now define.

Definition 2.For a given the numerical rank of is the largest integer such that .

By the Eckart–Young theorem, the numerical rank is the smallest rank attained over all with . For the numerical rank to be meaningful in the sense that it is unchanged if is perturbed slightly, we need not to be too close to or , which means that there must be a significant gap between these two singular values.

## QR Factorization

One might attempt to compute an RRF by using a QR factorization , where has orthonormal columns, is upper triangular, and we assume that . In Definition 1, we can take

However, it is easy to see that QR factorization in its basic form is flawed as a means for computing an RRF. Consider the matrix

which is a Jordan block with zero eigenvalue. This matrix is its own QR factorization (), and the prescription gives , so . The essential problem is that the diagonal of has no connection with the nonzero singular values of . What is needed are column permutations: for the permutation matrix that reorders to , and this is a perfect RRF with .

For a less trivial example, consider the matrix

Computing the QR factorization we obtain

R = -2.0000e+00 5.0000e-01 -2.5000e+00 5.0000e-01 0 1.6583e+00 -1.6583e+00 -1.5076e-01 0 0 -4.2640e-09 8.5280e-01 0 0 0 -1.4142e+00

The element tells us that is within distance about of being rank deficient and so has a singular value bounded above by this quantity, but it does not provide any information about the next larger singular value. Moreover, in , is of order for this factorization. We need any small diagonal elements to be in the bottom right-hand corner, and to achieve this we need to introduce column permutations to move the “dependent columns” to the end.

## QR Factorization With Column Pivoting

A common method for computing an RRF is QR factorization with column pivoting, which for a matrix with computes a factorization , where is a permutation matrix, has orthonormal columns, and is upper triangular and satisfies the inequalities

In particular,

If with then we can write

with

Hence is within -norm distance of the rank- matrix . Note that if is partitioned conformally with in (4) then

so , which means that provides an approximation to the range of .

To assess how good an RRF this factorization is (with ) we write it as

Applying (1) gives

where , since has orthonormal columns and so has unit singular values. Now has unit diagonal and, in view of (2), its off-diagonal elements are bounded by . Therefore . On the other hand, by Theorem 1 in Bounds for the Norm of the Inverse of a Triangular Matrix. Therefore

The lower bound is an approximate equality for small for the triangular matrix

devised by Kahan, which is invariant under QR factorization with column pivoting. Therefore QR factorization with column pivoting is not guaranteed to reveal the rank, and indeed it can fail to do so by an exponentially large factor.

For the matrix , QR with column pivoting reorders to and yields

R = -3.0000e+00 3.3333e-01 1.3333e+00 -1.6667e+00 0 -1.6997e+00 2.6149e-01 2.6149e-01 0 0 1.0742e+00 1.0742e+00 0 0 0 3.6515e-09

This suggests a numerical rank of for (say). In fact, this factorization provides a very good RRF, as in we have .

## QR Factorization with Other Pivoting Choices

Consider a factorization with triangular factor partitioned as

We have

where (7) is from singular value interlacing inequalities and (8) follows from the Eckart-Young theorem, since setting to zero gives a rank- matrix. Suppose has numerical rank and . We would like to be able to detect this situation from , so clearly we need

In view of the inequalities (7) and (8) this means that we wish to choose maximize and minimize .

Some theoretical results are available on the existence of such QR factorizations. First, we give a result that shows that for the approximations in (9) can hold to within a factor .

Theorem 1.For with there exists a permutation such that has the QR factorization with and , where .

Proof. Let , with and let be such that satisfies . Then if is a QR factorization,

since , which yields the result.

Next, we write , where , and partition

with . Then

implies . On the other hand, if is an SVD with , , and then

so

Finally, we note that we can partition the orthogonal matrix as

and the CS decomposition implies that

Hence , as required.

Theorem 1 is a special case of the next result of Hong and Pan (1992).

Theorem 2. For with and any there exists a permutation matrix such that has the QR factorization where, with partitioned as in (6),

where .

The proof of Theorem 2 is constructive and chooses to move a submatrix of maximal determinant of to the bottom of , where comprises the last columns of the matrix of right singular vectors.

Theorem 2 shows the existence of an RRF up to the factor , but it does not provide an efficient algorithm for computing one.

How do the conditions (9) relate to Definition 1? Since algorithms for computing an RRF are usually not specialized to any particular , it is reasonable to ask that (9) holds for all . We consider what can be said if the first condition in (9) holds as an equality for all .

Lemma 3.If is upper triangular and satisfies for in the partitioning (6) then is diagonal.

Proof.The proof is by induction. Assume that . This is clearly true for , since . Write

Then by (8). Also for by standard singular value inequalities. We therefore have

It follows that , and so is diagonal, which completes the induction.

We conclude from the lemma that if the first condition in (9) is an equality for all then we have a perfect RRF with diagonal. Therefore if the approximations in (9) are reasonably good for all we should have a reasonably good RRF.

Much work has been done on algorithms that choose the permutation matrix in a different way to column pivoting or post-process a QR factorization with column pivoting, with the aim of satisfying (9) at reasonable cost. Typically, these algorithms involve estimating singular values and singular vectors. We are not aware of any algorithm that is guaranteed to satisfy (9) and requires only flops.

## UTV Decomposition

By applying Householder transformations on the right, a QR factorization with column pivoting can be turned into a *complete orthogonal decomposition* of , which has the form

where is upper triangular and and are orthogonal. Stewart (1998) calls (6) with upper triangular or lower triangular a UTV decomposition and he defines a rank-revealing UTV decomposition of numerical rank by

The UTV decomposition is easy to update (when a row is added) and downdate (when a row is removed) using Givens rotations and it is suitable for parallel implementation. Initial determination of the UTV decomposition can be done by applying the updating algorithm as the rows are brought in one at a time.

## LU Factorization

Instead of QR factorization we can build an RRF from an LU factorization with pivoting. For with , let

where and are permutation matrices, and are lower and upper triangular, respectively, and and are . Analogously to (7) and (8), we always have and . With a suitable pivoting strategy we can hope that and .

A result of Pan (2000) shows that an RRF based on LU factorization always exists up to a modest factor . This is analogue for LU factorization of Theorem 2.

Theorem 3For with and any there exist permutation matrices and such that

where is unit lower triangular, is upper triangular, and

where .

Again the proof is constructive, but the permutations it chooses are too expensive to compute. In practice, complete pivoting often yields a good RRF.

In terms of Definition 1, an RRF has

For the matrix (), the factor for LU factorization without pivoting is

U = 1.0000e+00 1.0000e+00 1.0000e-08 0 0 -2.0000e+00 2.0000e+00 1.0000e+00 0 0 5.0000e-09 -1.5000e+00 0 0 0 -2.0000e+00

As for QR factorization without pivoting, an RRF is not obtained from .. However, with complete pivoting we obtain

U = 2.0000e+00 1.0000e+00 -1.0000e+00 1.0000e+00 0 -2.0000e+00 0 0 0 0 1.0000e+00 1.0000e+00 0 0 0 -5.0000e-09

which yields a very good RRF with and .

## Notes

QR factorization with column pivoting is difficult to implement efficiently, as the criterion for choosing the pivots requires the norms of the active parts of the remaining columns and this requires a significant amount of data movement. In recent years, randomized RRF algorithms have been developed that use projections with random matrices to make pivot decisions based on small sample matrices and thereby reduce the amount of data movement. See, for example, Martinsson et al. (2019).

## References

This is a minimal set of references, which contain further useful references within.

- Shivkumar Chandrasekaran and Ilse C. F. Ipsen, On Rank-Revealing Factorisations, SIAM J. Matrix Anal. Appl. 15 (2), 592–622, 1994
- Y. P. Hong and C.-T. Pan, Rank-Revealing QR Factorizations and the Singular Value Decomposition, Math. Comp. 58 (197), 213–232, 1992.
- P. G. Martinsson, G. Quintana-Orti, and N. Heavner, randUTV: A Blocked Randomized Algorithm for Computing a Rank-Revealing UTV Factorization, ACM Trans. Math. Software 45(1), 4:1–4:26, 2019.
- C.-T. Pan, On the Existence and Computation of Rank-Revealing LU Factorizations, Linear Algebra Appl. 316, 199–222, 2000.
- G. W. Stewart, Matrix Algorithms. Volume I: Basic Decompositions, Society for Industrial and Applied Mathematics, Philadelphia, PA, USA, 1998.

## Related Blog Posts

- What Is the CS Decomposition? (2020)
- What Is an LU Factorization? (2021)
- What Is a QR Factorization? (2020)
- What Is the Singular Value Decomposition? (2020)

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