R help - Jan 2013 - Using eigen() for extracting only few major eigenpairs

Hi everyone,

I am using eigen() to extract the 2 major eigenpairs from a large real
square symmetric matrix. The procedure is already rather efficient, but
becomes somehow slow for real time needs with moderately large matrices
(few thousand lines).

The R implementation statically extracts all eigenvalues (and optionally
associated eigenvectors). I heard about optimizations of the eigen
decomposition when only few eigenpairs are needed : did somebody already
care about this problem (through a contributed package for example) ? Or do
I have to directly try to mess around with the LAPACK library (and
contribute the package myself afterwards) ?

Thanks by advance for your help,
Pierrick Bruneau
CRP Gabriel Lippmann

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hi: the irlba package does what you're looking for.


On Thu, Jan 31, 2013 at 3:32 AM, Pierrick Bruneau
<pbruneau@gmail.com>wrote:
> Hi everyone,
>
> I am using eigen() to extract the 2 major eigenpairs from a large real
> square symmetric matrix. The procedure is already rather efficient, but
> becomes somehow slow for real time needs with moderately large matrices
> (few thousand lines).
>
> The R implementation statically extracts all eigenvalues (and optionally
> associated eigenvectors). I heard about optimizations of the eigen
> decomposition when only few eigenpairs are needed : did somebody already
> care about this problem (through a contributed package for example) ? Or do
> I have to directly try to mess around with the LAPACK library (and
> contribute the package myself afterwards) ?
>
> Thanks by advance for your help,
> Pierrick Bruneau
> CRP Gabriel Lippmann
>
>         [[alternative HTML version deleted]]
>
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