Re: [eigen] How to speed up svd?

[Christoph Hertzberg <chtz@xxxxxxxxxxxxxxxxxxxxxxxx>]

On 05.10.2012 14:25, 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?

At the moment, Eigen only supports a slow but stable SVD decomposer.
You can somehow use an external fast but instable SVD decomposer. I 
think Gael wrote a mail about this once, but I can't find it right now.

Christoph



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Dipl.-Inf. Christoph Hertzberg
Cartesium 0.049
Universität Bremen
Enrique-Schmidt-Straße 5
28359 Bremen

Tel: +49 (421) 218-64252
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