Re: [eigen] How to speed up svd?

[Mark Borgerding <mark@xxxxxxxxxxxxxx>]

On 10/05/2012 08:25 AM, Hugh Perkins wrote:
> Hi,
>
> I run SVD on a 500*1000 dense double matrix of random number, with
> thin U and V, and it takes about 26 seconds.  The code looks like:
>
>      JacobiSVD<MatrixXd,HouseholderQRPreconditioner> svd(In,
> ComputeThinU | ComputeThinV);
>
> On matlab it takes about 1.1 seconds, though admittedly the solution
> doesn't seem terribly accurate.
>
> What are possible reasons for this disparity, and is there anything I
> can do to improve the situation?
>
> Hugh
I don't have a suggestion, but here are some links to give a little 
history of the problem.

This is a problem that has been brought up several times:
http://listengine.tuxfamily.org/lists.tuxfamily.org/eigen/2011/12/msg00092.html 

http://listengine.tuxfamily.org/lists.tuxfamily.org/eigen/2012/06/msg00267.html
    http://forum.kde.org/viewtopic.php?f=74&t=102088
Gael offered up one idea for speeding up a subset of JacobiSVD :
http://listengine.tuxfamily.org/lists.tuxfamily.org/eigen/2012/06/msg00020.html 

but I'm not sure what the status is.