[IPOL discuss] Truncated SVD in C/C++

[Marc Lebrun]

Hi all,

In order to speed up the NL-PCA algorithm, i'm looking for a truncated 
SVD, which will process the eigenvalues one by one, from the largest to 
the tiniest. The idea in NL-PCA is to keep only the ones which are 
larger than a threshold, so process all the eigenvalues is kind of useless.

Does any of you have this kind of algorithm, or an idea of where I can 
find it? I've searched in the web, but i can't find anything except the 
matlab function.

Thanking you in anticipation,

Best regards

--
Marc