On Thursday 07 September 2006 11:57, Adrian Egli wrote:
> i am working on a really big system, but mathematically nothing hard to
> implement,
> SVD, eig
> 3D points (~250'000) for PCA => size(X) =[3 ,250000 ] (~)
> eig(XX')
>
> etc
>
> SVD(same size)
Ok, for svd and eigenvalue problems I would still use LAPACK.
That is a collection of fortran codes that still provide state of the art
algorithms for linear algebra.
BTW that is what MATHWORKS uses internally since a few releases.
octave also uses LAPACK as a computation backend.
Octave also offers a c++ library that might be useful for you. That one is GPL
I believe. If that kind of license is not acceptable for your use, you might
take a look at the implementation how they embed the fortran codes into c++.
The gnu gsl provides eigenvalue algorithms only for symmetric matrices. But
your X*X' is obviously symmetric.
So this one might be sufficient too.
Hope this helps.
Greetings
Mathias
--
Dr. Mathias Fröhlich, science + computing ag, Software Solutions
Hagellocher Weg 71-75, D-72070 Tuebingen, Germany
Phone: +49 7071 9457-268, Fax: +49 7071 9457-511
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