Right after the Review on RandNLA: Randomized Numerical Linear Algebra, here is a well timed implementation,
RSVDPACK: Subroutines for computing partial singular value, interpolative, and CUR decompositions via randomized sampling on multi core and GPU architectures by Sergey Voronin and Per-Gunnar Martinsson
This document describes fast randomized algorithms and a corresponding implementation in C of a set of routines for computing low rank matrix decompositions (including the low rank SVD, interpolative decompositions, and CUR). The codes are written for multi-core CPU and GPU architectures and are very computationally efficient.The implementation can be found here: https://github.com/sergeyvoronin
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