irlba

Implicitly-restarted Lanczos methods for fast truncated singular value decomposition of sparse and dense matrices (also referred to as partial SVD). IRLBA stands for Augmented, Implicitly Restarted Lanczos Bidiagonalization Algorithm. The package provides the following functions (see help on each for details and examples).

• irlba main partial SVD function
• prcomp_irlba principal components function similar to the prcomp function in stats package for computing the first few principal components of large matrices
• partial_eigen a very limited partial eigenvalue decomposition for symmetric matrices (see the RSpectra package for more comprehensive truncated eigenvalue decomposition)

Help documentation for each function includes examples. Also see the package vignette, vignette("irlba", package="irlba"), and demo, demo("custom_matrix_multiply", package="irlba").

Version 2.1.2 of the package includes a convenience prcomp-like function for computing principal components and numerous bug fixes and numerical stability improvements in edge cases.

References

• Augmented Implicitly Restarted Lanczos Bidiagonalization Methods, J. Baglama and L. Reichel, SIAM J. Sci. Comput. 2005. (http://www.math.uri.edu/~jbaglama/papers/paper14.pdf)

Status