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Faster SVD for Matrices with Small $m/n$

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The singular values of a matrix are conventionally computed using either the bidiagonalization algorithm by Golub and Reinsch (1970) when m/nlessthan5/3, or the algorithm by Lawson and Hanson (1974) and Chan (1982) when m/ngreaterthan5/3. However, there is an algorithm that is faster and that does not involve a discontinuous choice, as follows: in all cases, perform a QR factorization as in Lawson-Hanson-Chan, but rather than do this right at the beginning, do it after zeros have already been introduced in the first j=2nm rows and columns. The same technique applies when computing singular vectors, with one small modification. If left singular vectors are needed, the new algorithm becomes advantageous only when mgreaterthan1.2661n, and the best j in this case is 3nm. The benefits of the new algorithm appear in terms of classical scalar floating-point operation counts; the effects of locality and parallelization are not considered in the analysis.

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1994-03

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Cornell University

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computer science; technical report

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http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.cs/TR94-1414

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technical report

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