Efficient truncated randomized SVD for mesh-free kernel methods

Abstract

This paper explores the utilization of randomized SVD (rSVD) in the context of kernel matrices arising from radial basis functions (RBFs) for the purpose of solving interpolation and Poisson problems. We propose a truncated version of rSVD, called trSVD, which yields a stable solution with a reduced condition number in comparison to the non-truncated variant, particularly when manipulating the scale or shape parameter of RBFs. Notably, trSVD exhibits exceptional proficiency in capturing the most significant singular values, enabling the extraction of critical information from the data. When compared to the conventional truncated SVD (tSVD), trSVD achieves comparable accuracy while demonstrating improved efficiency. Furthermore, we explore the potential of trSVD by employing scale parameter strategies, such as leave-one-out cross-validation and effective condition number. Then, we apply trSVD to solve a 2D Poisson equation, thereby showcasing its efficacy in handling partial differential equations. In summary, this study offers an efficient and accurate solver for RBF problems, demonstrating its practical applicability. The code implementation is provided to the scientific community for their access and reference.