RSVDPACK: Subroutines for computing partial singular value decompositions via randomized sampling on single core, multi core, and GPU architectures by Sergey Voronin, Per-Gunnar Martinsson
This document describes an implementation in C of a set of randomized algorithms for computing partial Singular Value Decompositions (SVDs). The techniques largely follow the prescriptions in the article "Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions," N. Halko, P.G. Martinsson, J. Tropp, SIAM Review, 53(2), 2011, pp. 217-288, but with some modifications to improve performance. The codes implement a number of low rank SVD computing routines for three different sets of hardware: (1) single core CPU, (2) multi core CPU, and (3) massively multicore GPU.
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