Givens rotations for QR decomposition, SVD and PCA over database joins

Abstract

AbstractThis article introduces FiGaRo, an algorithm for computing the upper-triangular matrix in the QR decomposition of the matrix defined by the natural join over relational data. FiGaRo ’s main novelty is that it pushes the QR decomposition past the join. This leads to several desirable properties. For acyclic joins, it takes time linear in the database size and independent of the join size. Its execution is equivalent to the application of a sequence of Givens rotations proportional to the join size. Its number of rounding errors relative to the classical QR decomposition algorithms is on par with the database size relative to the join output size. The QR decomposition lies at the core of many linear algebra computations including the singular value decomposition (SVD) and the principal component analysis (PCA). We show how FiGaRo can be used to compute the orthogonal matrix in the QR decomposition, the SVD and the PCA of the join output without the need to materialize the join output. A suite of experiments validate that FiGaRo can outperform both in runtime performance and numerical accuracy the LAPACK library Intel MKL by a factor proportional to the gap between the sizes of the join output and input.