Randomized Cholesky QR factorizations
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This article proposes and analyzes several variants of the randomized Cholesky QR factorization of a matrix X. Instead of computing the R factor from X^T X, as is done by standard methods, we obtain it from a small, efficiently computable random sketch of X, thus saving computational cost and improving numerical stability. The proposed direct variant of the randomized Cholesky QR requires only half the flops and the same communication cost as the classical Cholesky QR. At the same time, it is more robust since it is guaranteed to be stable whenever the input matrix is numerically full-rank. The rank-revealing randomized Cholesky QR variant has the ability to sort out the linearly dependent columns of X, which allows to have an unconditional numerical stability and reduce the computational cost when X is rank-deficient. We also depict a column-oriented randomized Cholesky QR that establishes the connection with the randomized Gram-Schmidt process, and a reduced variant that outputs a low-dimensional projection of the Q factor rather than the full factor and therefore yields drastic computational savings. It is shown that performing minor operations in higher precision in the proposed algorithms can allow stability with working unit roundoff independent of the dominant matrix dimension. This feature may be of particular interest for a QR factorization of tall-and-skinny matrices on low-precision architectures.
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