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

[Pierre Moulon]

Perhaps Eigen could help you :
http://eigen.tuxfamily.org/dox/TutorialLinearAlgebra.html

2011/10/23 Marc Lebrun <kenshin7 at wanadoo.fr>

> 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
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