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Eigen (C++ library): Difference between revisions
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Eigen comes with a few SVD implementations in its [https://eigen.tuxfamily.org/dox/group__SVD__Module.html SVD Module].<br> | Eigen comes with a few SVD implementations in its [https://eigen.tuxfamily.org/dox/group__SVD__Module.html SVD Module].<br> | ||
If you only need low-rank approximations then you may be interested in randomized SVD.<br> | If you only need low-rank approximations then you may be interested in randomized SVD.<br> | ||
This can be 10-20x faster when calculating low-rank approximations on large matrices.<br> | |||
[https://github.com/kazuotani14/RandomizedSvd Github Implementation]<br> | [https://github.com/kazuotani14/RandomizedSvd Github Implementation]<br> | ||
[https://arxiv.org/abs/0909.4061 Finding structure with randomness paper]<br> | [https://arxiv.org/abs/0909.4061 Finding structure with randomness paper]<br> | ||
[https://research.fb.com/blog/2014/09/fast-randomized-svd/ Facebook Blog post] | [https://research.fb.com/blog/2014/09/fast-randomized-svd/ Facebook Blog post] | ||