Re: [eigen] BDCSVD update

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On Tue, Aug 27, 2013 at 4:54 PM, Jitse Niesen <jitse@xxxxxxxxxxxxxxxxx> wrote:
Gael, thanks for your work on bidiagonalization. Hopefully we are getting close to lapack now.

yes. The bidiagonalization step is now as fast as Lapack or intel MKL (with a single thread) even though it is still dominated by matrix-vector products.

Before your new solving method, I got these numbers (for a 1000 x 1000 random matrix):

on a xeon X5570 versus Intel MKL:
BDCSVD:         1.03396
BDCSVD  U+V:    5.39393
dgesdd_(MKL):        0.53134
dgesdd_(MKL) U+V:    1.25072

on a core2 versus Lapack:
BDCSVD:         2.35741
BDCSVD  U+V:    12.1212
dgesdd_:        1.81886
dgesdd_ U+V:    3.46479


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