Re: [eigen] How to speed up svd?

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On 10/05/2012 08:25 AM, Hugh Perkins wrote:

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?


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:
Gael offered up one idea for speeding up a subset of JacobiSVD :
but I'm not sure what the status is.

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