Fast randomized numerical rank estimation for numerically low-rank matrices

Abstract

Matrices with low-rank structure are ubiquitous in scientific computing. Choosing an appropriate rank is a key step in many computational algorithms that exploit low-rank structure. However, estimating the rank has been done largely in an ad-hoc fashion in large-scale settings. In this work we develop a randomized algorithm for estimating the numerical rank of a (numerically low-rank) matrix. The algorithm is based on sketching the matrix with random matrices from both left and right; the key fact is that with high probability, the sketches preserve the orders of magnitude of the leading singular values. We prove a result on the accuracy of the sketched singular values and show that gaps in the spectrum are detected. For an m×n(m≥n) matrix of numerical rank r, the algorithm runs with complexity O(mnlog⁡n+r3), or less for structured matrices. The steps in the algorithm are required as a part of many low-rank algorithms, so the additional work required to estimate the rank can be even smaller in practice. Numerical experiments illustrate the speed and robustness of our rank estimator.