Alternative to SVD

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Alternative to SVD

Postby ilovelela » Sun Sep 11, 2011 2:53 pm

Is there another routine such as SYEV that provide similar results to SVD?
I'm currently using U from the result of SVD to implement PCA. But turns out SVD seems to take the longest time. Is there an Eigen routine that can provide me the same result as SVD's U ?
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Re: Alternative to SVD

Postby kyle » Mon Sep 12, 2011 7:58 am

If you only need U, and not V, from SVD you could call GESVD with the 'A', 'N' job codes.

Alternatively, if you just need a unitary matrix, you could just use QR.
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Re: Alternative to SVD

Postby ilovelela » Mon Sep 12, 2011 9:15 am

I was already using those options but thanks.

What do you mean by QR?
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Re: Alternative to SVD

Postby kyle » Mon Sep 12, 2011 11:29 am

ilovelela wrote:What do you mean by QR?

QR Decomposition
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Re: Alternative to SVD

Postby john » Tue Sep 13, 2011 6:16 am

You'll want the routines geqrf and orgqr. QRF decomposes into R and a representation of Q. ORGQR then extracts the full unitary Q matrix from that.
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Re: Alternative to SVD

Postby ilovelela » Tue Sep 13, 2011 9:26 am

Therefore the unitary Matrix Q would be equal to the U produced by SVD?
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Re: Alternative to SVD

Postby kyle » Tue Sep 13, 2011 9:27 am

ilovelela wrote:Therefore the unitary Matrix Q would be equal to the U produced by SVD?

No, with respect to A=Q*R whereas SVD is A=U*S*V'.
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