randwhiten | R Documentation |
uses random matrix to whiten a matrix
randwhiten(A, k, seed = NA)
A |
input matrix |
k |
rank to use |
seed |
for testing |
whitened matrix 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
Aw <- randwhiten(A, k)
# (Aw) %*% t(Aw)
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