library for SVD with m<n

[Han Solo]

Hi,

I need a c++ library, that can calculate a Singular Value
Decomposition for a Matrix A that has more columns then rows. m < n !
I have already tried TNT with Jama, and LinAlg. Both packages can only
calculate the SVD for m>=n!

If this is not implemented yet in C++, can somebody give me a recipe
for this algorithm, or a possibility how to modify the SVD algoritm
for m>=n to get it to work with m<n. I need both the U and the V
Matrix.


Thanks for any help.

han

 

[E. Robert Tisdale]

I need a c++ library, that can calculate a Singular Value
Decomposition for a Matrix A that has more columns then rows. m < n !
I have already tried TNT with Jama, and LinAlg. Both packages can only
calculate the SVD for m>=n!

If this is not implemented yet in C++, can somebody give me a recipe
for this algorithm, or a possibility how to modify the SVD algoritm
for m>=n to get it to work with m<n. I need both the U and the V
Matrix.

Let's see

A^T = UDV ==> A = V^TDU^T

 

[Patrick Kowalzick]

Hi Han,

I need a c++ library, that can calculate a Singular Value
Decomposition for a Matrix A that has more columns then rows. m < n !
I have already tried TNT with Jama, and LinAlg. Both packages can only
calculate the SVD for m>=n!

If this is not implemented yet in C++, can somebody give me a recipe
for this algorithm, or a possibility how to modify the SVD algoritm
for m>=n to get it to work with m<n. I need both the U and the V
Matrix.

I am not quite sure, but I think the topic is OT and belongs in a group for
math or libraries.

For the C++ Side I use the uBlas library for matrices and the bindings to
LAPACK. The SVD-Calculation itself is in FORTRAN (LAPACK) or in C (CLAPACK)
but in this constellation wrapped by the bindings.
See:
http://www.boost.org
http://groups.yahoo.com/group/ublas-dev/
http://sourceforge.net/projects/ublas/

LAPACK itself has quite a lot of functions for several cases of the SVD and
if I remember right the cas m<n as well. LAPACK is very well suited for
dense matrices.
http://www.netlib.org/lapack/
http://www.netlib.org/lapack/lug/node29.html

Theoretically this should work as well with the GNU GSL (also C), but the
last version I used had just comments in the code that m<n is not
implemented yet.
http://www.gnu.org/software/gsl/
http://www.gnu.org/software/gsl/manual/gsl-ref_13.html#SEC221

Regards,
Jabba