Scratch that; I misread your request as I was forwarded a link to this with the title "Big SVD".
You should look into wrapping Elemental's HermitianEig and/or the appropriate routine from ELPA, unless you only want a small number of modes, in which case a Krylov subspace technique would likely be preferred. Jack On Tuesday, March 8, 2016 at 8:20:10 PM UTC-8, Jack Poulson wrote: > > There were several recent extensions to Elemental's SVD support, as > detailed here: > https://github.com/elemental/Elemental/issues/125 > > In particular, FULL_SVD, THIN_SVD, COMPACT_SVD, and PRODUCT_SVD are now > all supported, where the latter should used if you do not need small > triplets as it uses a more parallelizable reduction to tridiagonal form of > A^H A rather than a reduction to bidiagonal form of A (as well as a more > parallelized MRRR Hermitian tridiagonal eigensolver instead of a QR > algorithm for the bidiagonal SVD). > > With that said, it's worth asking if your friend only needs the top k > triplets for modest k, as something like Jiahao and Andreas's TSVD > implementation on top of a distributed dense matrix-vector product likely > be the way to go (otherwise, a wrapper to SLEPc would be warranted). > > Jack > > On Tuesday, March 8, 2016 at 12:19:07 PM UTC-8, Tony Kelman wrote: >> >> May also want to look into Elemental. Last I checked Elemental uses >> Scalapack in a handful of places but I don't think it would be the case >> here. >> >> >> On Tuesday, March 8, 2016 at 8:19:15 AM UTC-8, Erik Schnetter wrote: >>> >>> A colleague mentioned to me that he needs to diagonalize (find >>> eigenvalues and eigenvectors) of a symmetric dense matrix with n=10^6 >>> (i.e. the matrix has 10^12 entries). ScaLapack seems to be the way to >>> go for this. >>> >>> I'm happy to see there is >>> <https://github.com/JuliaParallel/ScaLAPACK.jl>. Saying its >>> documentation is "Spartan" is an understatement. There is a file >>> "test/test.jl" that seems to not be included from "runtests.jl", and >>> which thus might be intended as example. >>> >>> The package doesn't pass its tests. If you know more about whether >>> this just needs a brush-up or whether major surgery is required I'd >>> appreciate feedback. >>> >>> -erik >>> >>> -- >>> Erik Schnetter <[email protected]> >>> http://www.perimeterinstitute.ca/personal/eschnetter/ >>> >>
