On the computation of a truncated SVD of a large linear discrete ill-posed problem

Abstract

The singular value decomposition is commonly used to solve linear discrete ill-posed problems of small to moderate size. This decomposition not only can be applied to determine an approximate solution but also provides insight into properties of the problem. However, large-scale problems generally are not solved with the aid of the singular value decomposition, because its computation is considered too expensive. This paper shows that a truncated singular value decomposition, made up of a few of the largest singular values and associated right and left singular vectors, of the matrix of a large-scale linear discrete ill-posed problems can be computed quite inexpensively by an implicitly restarted Golub---Kahan bidiagonalization method. Similarly, for large symmetric discrete ill-posed problems a truncated eigendecomposition can be computed inexpensively by an implicitly restarted symmetric Lanczos method.