HDF5/JLD does support compression: 
https://github.com/timholy/HDF5.jl/blob/master/doc/hdf5.md#reading-and-writing-data

But it's not turned on by default. Matlab uses compression by default, and 
I've found it's a huge bottleneck in terms of performance 
(http://www.mathworks.com/matlabcentral/fileexchange/39721-save-mat-files-more-quickly).
 But perhaps there's a good middle ground. It would take someone 
doing a little experimentation to see what the compromises are.

--Tim

On Tuesday, September 02, 2014 08:30:39 AM Douglas Bates wrote:
> Now that the JLD format can handle DataFrame objects I would like to switch
> from storing data sets in .RData format to .jld format.  Datasets stored in
> .RData format are compressed after they are written.  The default
> compression is gzip.  Bzip2 and xz compression are also available.  The
> compression can make a substantial difference in the file size because the
> data values are often highly repetitive.
> 
> JLD is different in scope in that .jld files can be queried using external
> programs like h5ls and the files can have new data added or existing data
> edited or removed.  The .RData format is an archival format.  Once the file
> is written it cannot be modified in place.
> 
> Given these differences I can appreciate that JLD files are not compressed.
>  Nevertheless I think it would be useful to adopt a convention in the JLD
> module for accessing data from files with a .jld.xz or .jld.7z extension.
>  It could be as simple as uncompressing the files in a temporary directory,
> reading then removing, or it could be more sophisticated.  I notice that my
> versions of libjulia.so on an Ubuntu 64-bit system are linked against both
> libz.so and liblzma.so
> 
> $ ldd /usr/lib/x86_64-linux-gnu/julia/libjulia.so
> linux-vdso.so.1 =>  (0x00007fff5214f000)
> libdl.so.2 => /lib/x86_64-linux-gnu/libdl.so.2 (0x00007f62932ee000)
> libz.so.1 => /lib/x86_64-linux-gnu/libz.so.1 (0x00007f62930d5000)
> libm.so.6 => /lib/x86_64-linux-gnu/libm.so.6 (0x00007f6292dce000)
> librt.so.1 => /lib/x86_64-linux-gnu/librt.so.1 (0x00007f6292bc6000)
> libpthread.so.0 => /lib/x86_64-linux-gnu/libpthread.so.0
> (0x00007f62929a8000)
> libunwind.so.8 => /usr/lib/x86_64-linux-gnu/libunwind.so.8
> (0x00007f629278c000)
> libstdc++.so.6 => /usr/lib/x86_64-linux-gnu/libstdc++.so.6
> (0x00007f6292488000)
> libgcc_s.so.1 => /lib/x86_64-linux-gnu/libgcc_s.so.1 (0x00007f6292272000)
> libc.so.6 => /lib/x86_64-linux-gnu/libc.so.6 (0x00007f6291eab000)
> /lib64/ld-linux-x86-64.so.2 (0x00007f62944b3000)
> liblzma.so.5 => /lib/x86_64-linux-gnu/liblzma.so.5 (0x00007f6291c89000)
> 
> 
> AFAIK the user-level interface to gzip requires the GZip package.  Unless I
> have missed something (always a possibility) there is no user-level
> interface to liblzma in Julia.  If the library is going to be linked
> anyway, would it make sense to provide a user-level interface in Julia?

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