SVD算法实现

Question

对于非常大的矩阵，有没有人知道C＃上SVD的良好可扩展实现？

Answer 1

ILNumerics.net似乎还有其他的SVD。

功能列表：

构架

.NET 1.1，.NET 2.0，即将推出：mono 1.2.3

语言

所有CLI都符合：C＃（推荐），托管C ++，Visual Basic ......

数组对象

 * Full OO class design * Generic typed container classes * single object for arbitrary array dimensions: scalar, vector, matrices, n-dim arrays * full support for flexible array modification: subarray-/ creation, concatenation, dimension removal, serialization * automated reference management: copy memory only if really needed * support for cells and logical arrays 

NUMERICS

 * Supports all numeric types as array elements: double, float, complex, fcomplex, int16, int32, 

int64，uint16，uint32，uint64，char，byte，bool *运算符重载（A + B，...）*静态运算符函数（fe Add（a，b））*支持特殊数字状态（NaN，+ / - 天道酬勤）

特定于处理器的优化

 * BLAS, LAPACK * AMD: ACML, Intel: MKL, general: netlib * Automated detection 

代数函数

 * abs * acos * add * all * any * asin * (more...) 

线性代数

 * matrix multiply, -inverse, -pseudo inverse * linear equation solver * decompositions: LU,QR,SVD,Cholesky * eigenvalues, eigenvectors 

傅里叶变换

 * 1,2,3...n dimensional * transforms forward & backwards * supported libraries: Intel MKL, AMD ACML, FFTW3 * 100% octave/Matlab/Scilab compatible interface 

排序

 * Sorting of strings (lexicographical, bucket sort) * Sorting of numeric data (quick sort) * generic sorting of arbitrary user defined types by definable keymapper (bucket sort) 

错误处理

 * typed exceptions 

算法基类

 * synchronous / asynchronous * easily extendable for user defined derived algorithms * full Windows.Forms.Control compatible multiple thread eventing 

支持

可视化

 * Plot panels, derived from Windows.Forms.Control * Plot dialog forms * 1D, 2D, 3D data plots * Based on OpenGL. (DirectX: deprecated) * Highly configurable graphs/figure properties * Automatic user interaction: rotation, zoom, auto axis scaling 

杂

 * Visual Studio 2005(R) AddIn: extends watch tool window * import from / export to Matlab(R) *.mat files * syntax vastly compatible to Matlab(R) (function naming, parameter) * determination of extended machine properties, numerical constants * Memory pool: automated recycling of large objects 

Answer 2

我们已经非常成功地使用了NAG库和“大”矩阵（4000x4000）。

它不是托管代码，但使用P / Invoke我们没有问题。

有32bit和64bit Windows版本（也有几个UNIX版本）。 还有特殊的MKL（英特尔数学核心库）和AMCL（AMD数学核心库）版本，它们可以更好地在x64系统上使用多个处理器。

如果这是一个问题，它也不是免费的。