[R-sig-hpc] Partial SVD

[Jay Emerson]

Yes, Bryan put irlba up on CRAN.  It works on either matrix or
big.matrix objects, too.  However (as Bryan would note) it is a pure R
implementation and its performance could be greatly improved by moving
much of the algorithm to C (maybe I'll try to get a grad student
interested in working on it).  So it might not be surprising if the
performance in "small-medium" simulations is unimpressive.  Just
remember: it can do a *really big* partial SVD, which most other
alternatives (that I'm aware of) wouldn't be able to handle.  We've
used it on an 80 GB data set (Netflix data without using a sparse
representation) successfully.

Jay

-- 
John W. Emerson (Jay)
Associate Professor of Statistics
Department of Statistics
Yale University
http://www.stat.yale.edu/~jay