Suppose I have some matrix A whose SVD I know. Now, I am given B which is A plus some small perturbation. Is there any algorithm which can use the SVD of A as an initial guess to gain speedup in the computation of the SVD of B?

  • 3
    $\begingroup$ It would help if you described the perturbation. You know that the eigenvalues depend continuously on the values of the matrix, but in general they will all change. That said, maybe your perturbation is low-rank, and then things might be easier. $\endgroup$ May 2 '13 at 12:38
  • $\begingroup$ @WolfgangBangerth - I do not have any knowledge on the perturbation except for its magnitude. The question is general - I do not mind if there are end-cases in which the use of the "initial guess" would not help. $\endgroup$
    – olamundo
    May 2 '13 at 13:27
  • 1
    $\begingroup$ You might be interested in this paper. $\endgroup$
    – J. M.
    May 2 '13 at 14:00

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