randsvd | R Documentation |
uses random matrix to estimate svd results
randsvd(A, k, seed = NA)
A |
input matrix |
k |
rank to use |
seed |
for testing |
randomized svd is output
Avants BB
N. Halko, P.G. Martinsson, J. Tropp "Finding structure with randomness: Stochastic algorithms for constructing approximate matrix decompositions" arXiv 0909.4061
A <- matrix(rnorm(3000), ncol = 50)
k <- 10
dr <- randsvd(A, k)$d[1:k]
dt <- svd(A)$d[1:k]
cor(dr, dt)
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