On the Low-rank Approximation by the Pivoted Cholesky Decomposition

  title={On the Low-rank Approximation by the Pivoted Cholesky Decomposition},
  author={Helmut Harbrecht and Michael Peters and Reinhold Schneider}
The present paper is dedicated to the application of the pivoted Cholesky decomposition to compute low-rank approximations of dense, positive semi-definite matrices. The resulting approximation error is rigorously controlled in terms of the trace norm. Exponential convergence rates are proved under the assumption that the eigenvalues of the matrix under consideration exhibit a sufficiently fast exponential decay. By numerical experiments it is demonstrated that the pivoted Cholesky… CONTINUE READING


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