An Improved Algorithm for Computing the Singular Value Decomposition

@article{Chan1982AnIA,
  title={An Improved Algorithm for Computing the Singular Value Decomposition},
  author={Tony F. Chan},
  journal={ACM Trans. Math. Softw.},
  year={1982},
  volume={8},
  pages={72-83}
}
The most well-known and widely used algorithm for computing the Singular Value Decomposition (SVD) A --U ~ V T of an m x n rectangular matrix A is the Golub-Reinsch algorithm (GR-SVD). In this paper, an improved version of the original GR-SVD algorithm is presented. The new algorithm works best for matrices with m >> n, but is more efficient even when m is only slightly greater than n (usually when m ~ 2n) and in some cases can achieve as much as 50 percent savings. If the matrix U ~s exphcltly… CONTINUE READING
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