A Restricted SVD type CUR Decomposition for Matrix Triplets

We propose a restricted SVD based CUR (RSVD-CUR) decomposition for matrix triplets $(A, B, G)$. Given matrices $A$, $B$, and $G$ of compatible dimensions, such a decomposition provides a coordinated low-rank approximation of the three matrices using a subset of their rows and columns. We pick the subset of rows and columns of the original matrices by applying the discrete empirical interpolation method (DEIM) to the orthogonal and nonsingular matrices from the restricted singular value decomposition of the matrix triplet. We investigate the connections between this DEIM type RSVD-CUR approximation and a DEIM type CUR factorization, and a DEIM type generalized CUR decomposition. We provide an error analysis that shows that the accuracy of the proposed RSVD-CUR decomposition is within a factor of the approximation error of the restricted singular value decomposition of given matrices. An RSVD-CUR factorization may be suitable for applications where we are interested in approximating one data matrix relative to two other given matrices. Two applications that we discuss include multi-view and multi-label dimension reduction, and data perturbation problems of the form $A_E=A + BFG$, where $BFG$ is a nonwhite noise matrix. In numerical experiments, we show the advantages of the new method over the standard CUR approximation for these applications.