A block QR factorization algorithm using restricted pivoting

Abstract

This paper presents a new algorithm for computing the QR factorization of a rank-deficient matrix on high-performance machines. The algorithm is based on the Householder QR factorization algorithm with column pivoting. The traditional pivoting strategy is not well suited for machines with a memory hierarchy since it precludes the use of matrix-matrix operations. However, matrix-matrix operations perform better on those machines than matrix-vector or vector-vector operations since they involve significantly less data movement per floating point operation. We suggest a restricted pivoting strategy which allows us to formulate a block QR factorization algorithm where the bulk of the work is in matrix-matrix operations. Incremental condition estimation is used to ensure the reliability of the restricted pivoting scheme. Implementation results on the Cray 2, Cray X-MP and Cray Y-MP show that the new algorithm performs significantly better than the traditional scheme and can more than halve the cost of computing the QR factorization.