[R-sig-hpc] Overhead in computation of SVD

[Jeff Ryan]

Try

http://bigcomputing.blogspot.com/2011/05/bryan-lewiss-vignette-on-irlba-for-svd.html

Jeff

Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com

www.lemnica.com

On Jun 4, 2011, at 9:39 AM, Giuseppe Paleologo <paleologo at gmail.com> wrote:

> R uses LAPACK for svd computation, but it is my understanding from a post on
> Radford Neal's blog (
> http://radfordneal.wordpress.com/2011/05/21/slowing-down-matrix-multiplication-in-r/#more-739),
> that additional checks are performed to propagate NA/NaNs and Inf, (at least
> on level-3 BLAS calls, not sure LAPACK). I have to run a large number of
> svds on large dense matrices, and am looking for efficient execution of
> these decompositions. I think a truncated svd would be acceptable, and R
> does not have a base routine for this. My questions:
> 
> 1. when there are no NAs, Is there a benefit in binding directly to DGESVD
> 2. has anyone tried packages svd (uses PROPACK routines) and irlba?
> 
> Thanks,
> 
> gappy
> 
>   [[alternative HTML version deleted]]
> 
> _______________________________________________
> R-sig-hpc mailing list
> R-sig-hpc at r-project.org
> https://stat.ethz.ch/mailman/listinfo/r-sig-hpc