[R] using R's svd from outside R

[Ralf Goertz]

Hi,

I have to compute the singular value decomposition of rather large
matrices. My test matrix is 10558 by 4255 and it takes about three
minutes in R to decompose on a 64bit quadruple core linux machine. (R is
running svd in parallel, all four cores are at their maximum load while
doing this.) I tried several blas and lapack libraries as well as the
gnu scientific library in my C++ programm. Apart from being unable to
have them do svd in parallel mode (although I thought I did everything
to make them do it in parallel) execution time always exceeds 25 minutes
which is still way more than the expected 12 minutes for the
non-parallel R code.

I am now going to call R from within my program, but this not very
elegant. So my questions are: Does R use a special svd-routine and is it
possible to use it directly by linking in the relevant libraries? (Sorry
but I couldn't figure that out by looking at the source code.) If that
is possible, can I have the code run in parallel mode?

Thanks,

Ralf