Implements Singular Value Decomposition for generic number types, such as BigFloat
, Complex{BigFloat}
or Quaternion
s. It internally overloads several Base functions such that existing methods (svd
, svdfact
and svdvals
) should work directly.
It uses a Golub-Kahan 2-stage algorithm of bidiagonalization with Householder reflections, followed by an implicit QR with shift.
Based on initial code by Andreas Noack.
02/02/2016
12 days ago
34 commits