redsvdhttp://mloss.orgUpdates and additions to redsvdenMon, 30 Aug 2010 18:13:55 -0000redsvd 0.1.0<html><p>redsvd is a C++ library for solving several matrix decompositions including singular value decomposition (SVD), principal component analysis (PCA), and eigen value decomposition. redsvd can handle very large matrix efficiently, and optimized for a truncated SVD of sparse matrices. For example, redsvd can compute a truncated SVD with top 20 singular values for a 100K x 100K matrix with 10M nonzero entries in less than two second. </p> <p>redsvd uses the algorithm based on the randomized algorithm described in the following paper. </p> <p>"Finding structure with randomness: Stochastic algorithms for constructing approximate matrix decompositions", N. Halko, P.G. Martinsson, J. Tropp, arXiv 0909.4061 </p> <p>Although the original algorithm samples in one way, redsvd samples both rows and columns, and enhance the performance especially for sparse matrices. </p></html>Daisuke OkanoharaMon, 30 Aug 2010 18:13:55 -0000 factorizationsingular value decompositionsparse