Rank Revealing Gaussian Elimination by the Maximum Volume Concept

Technical Report ERGO-18-002

L. Schork and J. Gondzio

A Gaussian elimination algorithm is presented that reveals the numerical rank of a matrix by yielding small entries in the Schur complement. The algorithm uses the maximum volume concept to find a square nonsingular submatrix of maximum dimension. The bounds on the revealed singular values are similar to the best known bounds for rank revealing LU factorization, but in contrast to existing methods the algorithm does not make use of the normal matrix. An implementation for dense matrices is described whose computational cost is roughly twice the cost of an LU factorization with complete pivoting. Because of its exibility in choosing pivot elements, the algorithm is amenable to implementation with blocked memory access and for sparse matrices.

Key words: Rank revealing LU, maximum volume.

PDF ERGO-18-002.pdf.

Written: February 5, 2018.