randomized whitening function.

uses random matrix to whiten a matrix

randwhiten(A, k, seed = NA)

Arguments

A	input matrix
k	rank to use
seed	for testing

Value

whitened matrix 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
Aw=randwhiten(A,k)
# (Aw) %*% t(Aw)