## Truncated SVD … how?

### June 7, 2012

This question has been bothering me off and on for several months now: how *exactly* is the truncated SVD computed, and what is the cost? I’ve gathered that most methods are based on Krylov subspaces, and that implicitly restarted Arnoldi processes seem to be the most popular proposal … in what miniscule amount of literature I’ve been able to find on the subject (like only two or three papers, tops, that actually focus on computing truncated SVDs, as opposed to the *multitudes* that propose using them). However, I’ve no idea if that’s the case, or just the impression I have.

But mostly, I want to know the compute time of the most efficient truncated SVD algorithm. Why? A naive estimate of getting the rank-\(k\) truncated SVD of an \(m\times n\) matrix using Krylov subspace techniques is \(\mathrm{O}(mnk)\), but in practice the compute time actually depends on properties of the matrix. On the other hand, basically all randomized low-rank techniques take around that many operations but without depending on the properties of the matrix. Soooo, it’d be nice to know when randomized techniques are competitive. Since there’s so much literature on them, I assume they are competitive (and the Halko–Martinsson–Tropp survey paper has some plots that show speedups).