Pierrick Bruneau
2013-Jan-31 08:32 UTC
[R] 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 [[alternative HTML version deleted]]
Mark Leeds
2013-Jan-31 13:51 UTC
[R] Using eigen() for extracting only few major eigenpairs
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]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >[[alternative HTML version deleted]]