Forget QR and LU decompositions, there are now so many ways of factorising matrices that there are not enough acronyms in the alphabet to hold them, especially if you suspect your matrix is sparse, or could be made sparse because of some underlying constraint, or probably could, if squinted at in the right fashion, be such as a graph transition matrix, or Laplacian, or noisy transform of some smooth object, or at least would be very close to sparse or…
Your big matrix is the product (or sum, or…) of two matrices that are in some way simple (smallrank, small dimension, sparse), possibly with additional constraints. Can you find these simple matrices?
Here's an example. Godec  A decomposition into lowrank and sparse components. (looks combined multidimensional factorisation and outlier detection). Implementations for MATLAB and R exist.
A hip one from the previous decade is Non Negative Matrix factorisation (NMF), which I think is a classic. I should explain why.
There are so many of these things, depending on your preferred choice of loss function, free variable and whatever.
Keywords: Matrix sketching, lowrank approximation, Generalised version of traditional dimensionality reduction. There seems to be little contact with the related area of matrix methods, as seen in, e.g. covariance matrices. Why is that?
(See hmatrix.org for one lab's backgrounder and their implementation, h2lib, hlibpro for a blackbox closedsource one.)
Matrix concentration inequalities turn out to be useful in making this work.
I would like to learn more about
 sparse or lowrank matrix approximation as clustering for density estimation, which is how I imagine highdimensional mixture models would need to work, and thereby also
 Mercer kernel approximation.
 Connection to manifold learning is also probably worth examining.
Igor Carron's Matrix Factorization Jungle classifies the following problems as matrixfactorisation type.
 Kernel Factorizations

 …
 Spectral clustering

 with unknown D and X, solve for sparse X and X_i = 0 or 1
 KMeans / KMedian clustering

 with unknown D and X, solve for XX^T = I and X_i = 0 or 1
 Subspace clustering

 with unknown X, solve for sparse/other conditions on X
 Graph Matching

 with unknown X, B solve for B and X as a permutation
 NMF

 with unknown D and X, solve for elements of D,X positive
 Generalized Matrix Factorization

 with W a known mask, U,V unknowns solve for U,V and L lowest rank possible
 Matrix Completion

 with H a known mask, L unknown solve for L lowest rank possible
 Stable Principle Component Pursuit (SPCP)/ Noisy Robust PCA

 with L, S, N unknown, solve for L low rank, S sparse, N noise
 Robust PCA

 with L, S unknown, solve for L low rank, S sparse
 Sparse PCA

 with unknown D and X, solve for sparse D
 Dictionary Learning

 with unknown D and X, solve for sparse X
 Archetypal Analysis

 with unknown D and X, solve for D = AB with D, B positive
 Matrix Compressive Sensing (MCS)

 find a rankr matrix L such that / or
 Multiple Measurement Vector (MMV)

 with unknown X and rows of X are sparse.
 compressed sensing

 with unknown X and rows of X are sparse, X is one column.
 Blind Source Separation (BSS)

 with unknown A and X and statistical independence between columns of X or subspaces of columns of X
 Partial and Online SVD/PCA

 …
 Tensor Decomposition
 … **Not sure about this one but see orthogonally decomposable tensors
Truncated Classic PCA is clearly also an example of this, but is excluded from the list for some reason. Boringness? the fact it's a special case of Sparse PCA?
See also learning on manifolds, compressed sensing, optimisation random linear algebra and clustering, sparse regression…
Overviews
 Data mining seminar: Matrix sketching
 Kumar and Schneider have a literature survey on on low rank approximation of matrices (KuSh16_)
 Preconditioning tutorial by Erica Klarreich
 Andrew McGregor's ICML Tutorial Streaming, sampling, sketching

Spielman's Laplacian Linear Equations, Graph Sparsification, Local Clustering, LowStretch Trees, etc. is the best start and links lots of online textbooks and so on. Is it the same as this other page? Laplacian Linear Equations, Graph Sparsification, Local Clustering, LowStretch Trees, etc.:
ShangHua Teng and I wrote a large paper on the problem of solving systems of linear equations in the Laplacian matrices of graphs. This paper required many graphtheoretic algorithms, most of which have been greatly improved. This page is an attempt to keep track of the major developments in and applications of these ideas.

Another one that makes the link to clustering_ is Chris Ding's Principal Component Analysis and Matrix Factorizations for Learning
 Igor Carron's Advanced Matrix Factorization Jungle.
Sketching
“Sketching” is what I am going to use to describe the subset of factorisations which reduce the dimensionality of the matrices in question in a way I will make clear shortly.
[#Mart16] mentions CUR and interpolative decompositions. Does preconditioning fit here?
Randomized methods
Most of these algorithms have multiple optima and use a greedy search to find solutions; that is, they are deterministic up to choice of starting parameters.
There are also randomised versions.
Implementations
“Enough theory! Plug the hip new toy into my algorithm!”
OK.
HPC for matlab, R, python, c++: libpmf:
LIBPMF implements the CCD++ algorithm, which aims to solve largescale matrix factorization problems such as the lowrank factorization problems for recommender systems.
NMF (R): TBD
laplacians.jl (Julia):
Laplacians is a package containing graph algorithms, with an emphsasis on tasks related to spectral and algebraic graph theory. It contains (and will contain more) code for solving systems of linear equations in graph Laplacians, low stretch spanning trees, sparsifiation, clustering, local clustering, and optimization on graphs.
All graphs are represented by sparse adjacency matrices. This is both for speed, and because our main concerns are algebraic tasks. It does not handle dynamic graphs. It would be very slow to implement dynamic graphs this way.
Laplacians.jl was started by Daniel A. Spielman. Other contributors include Rasmus Kyng, Xiao Shi, Sushant Sachdeva, Serban Stan and Jackson Thea.
Matlab: ChihJen Lin's nmf.m  “This tool solves NMF by alternative nonnegative least squares using projected gradients. It converges faster than the popular multiplicative update approach. ”
distributed nmf: In this repository, we offer both MPI and OPENMP implementation for MU, HALS and ANLS/BPP based NMF algorithms. This can run off the shelf as well easy to integrate in other source code. These are very highly tuned NMF algorithms to work on super computers. We have tested this software in NERSC as well OLCF cluster. The openmp implementation is tested on many different linux variants with intel processors. The library works well for both sparse and dense matrix. (KaBP16_, Kann16_, FKPB15_)
Spams (C++/MATLAB/python) includes some matrix factorisations in its sparse approx toolbox. (see optimisation)
scikitlearn
(python) does
a few matrix factorisation
in its inimitable
batteriesinthekitchensink way.
nimfa (python)  “Nimfa is a Python library for nonnegative matrix factorization. It includes implementations of several factorization methods, initialization approaches, and quality scoring. Both dense and sparse matrix representation are supported.”
Tapkee (C++). Protip – even without coding C++, tapkee does a long list of dimensionality reduction from the CLI.
 PCA and randomized PCA
 Kernel PCA (kPCA)
 Random projection
 Factor analysis
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