randomized svd function.

uses random matrix to estimate svd results

randsvd(A, k, seed = NA)

Arguments

A	input matrix
k	rank to use
seed	for testing

Value

randomized svd is output

References

N. Halko, P.G. Martinsson, J. Tropp "Finding structure with randomness: Stochastic algorithms for constructing approximate matrix decompositions" arXiv 0909.4061

Examples

A <- matrix(rnorm(3000), ncol=50 )
k=10
dr=randsvd(A,k)$d[1:k]
dt=svd(A)$d[1:k]
cor(dr,dt)
#> [1] 0.9820854