Adaptive Parallelizable Algorithms for Interpolative Decompositions via Partially Pivoted LU

Interpolative and CUR decompositions involve "natural bases" of row and column subsets, or skeletons, of a given matrix that approximately span its row and column spaces. These low-rank decompositions preserve properties such as sparsity or non-negativity, and are easily interpretable in the context of the original data. For large-scale problems, randomized sketching to sample the row or column spaces with a random matrix can serve as an effective initial step in skeleton selection to reduce computational cost. A by now well-established approach has been to extract a randomized sketch, followed by column-pivoted QR CPQR) on the sketch matrix. This manuscript describes an alternative approach where CPQR is replaced by LU with partial pivoting (LUPP). While LUPP by itself is not rank-revealing, it is demonstrated that when used in a randomized setting, LUPP not only reveals the numerical rank, but also allows the estimation of the residual error as the factorization is built. The resulting algorithm is both adaptive and parallelizable, and attains much higher practical speed due to the lower communication requirements of LUPP over CPQR. The method has been implemented for both CPUs and GPUs, and the resulting software has been made publicly available.