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Interpolative decomposition

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In numerical analysis, interpolative decomposition (ID) factors a matrix as the product of two matrices, one of which contains selected columns from the original matrix, and the other of which has a subset of columns consisting of the identity matrix and all its values are no greater than 2 in absolute value.

Definition

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Let be an matrix of rank . The matrix can be written as

where

  • is a subset of indices from
  • The matrix represents 's columns of
  • is an matrix, all of whose values are less than 2 in magnitude. has an identity submatrix.

Note that a similar decomposition can be done using the rows of instead of its columns.

Example

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Let be the matrix of rank 2:

If

then

Notes

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References

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