Randomized algorithm for computing the SVD of an out-of-core matrix.
Compute the SVD of a matrix stored on disk or given as a function that applies the matrix and its transpose to given vectors.
See testpca.m for examples.
Please cite the following paper when using the code
N. Halko, P. G. Martinsson, Y. Shkolnisky, and M. Tygert. An algorithm for the principal component analysis of large data sets. SIAM Journal on Scientific Computing, 33(5):2580-2594, 2011
Last updated 2011/02/24.