Is there any fast algorithm for Singular Value Decomposition for large matrices. I am doing some real time principal component analysis and I need to find the SVD really fast.
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Generally you'll want to be exploiting some structure if you want to do it fast. Do you have any structure of note in your case? – Ian Sep 07 '15 at 01:52
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You also may be able to save some time if your tolerance for a zero singular value is relatively lax, or if the condition number is never especially large. – Ian Sep 07 '15 at 01:56