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initial svds support based on eigs #9425

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merged 9 commits into from
Jan 11, 2015
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Merged

initial svds support based on eigs #9425

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9ea6b51
initial svds support based on eigs
jaak-s Dec 20, 2014
8b061df
removed extra spaces, added ritzvec param to svds
jaak-s Dec 21, 2014
d654afa
manual for svds
jaak-s Dec 21, 2014
6e91217
renamed to SVDOperator
jaak-s Dec 21, 2014
95e2d6c
svds now uses eigs of [0 A; A' 0]
jaak-s Jan 2, 2015
b1517a6
support for Complex operators
jaak-s Jan 3, 2015
be1f1bb
removed trailing whitespace
jaak-s Jan 3, 2015
f8edd41
replaced getOperatorType to eltype
jaak-s Jan 3, 2015
b9d7a30
added check for nsv
jaak-s Jan 3, 2015
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removed extra spaces, added ritzvec param to svds
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@jaak-s
jaak-s committed Dec 21, 2014
commit 8b061df9c4275fca72562d64f6b364e4376e473e
16 changes: 9 additions & 7 deletions base/linalg/arnoldi.jl
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Expand Up @@ -118,11 +118,13 @@ end
size(s::SvdX) = size(s.X, 2), size(s.X, 2)
issym(s::SvdX) = true

function svds(X; args...)
ex = eigs(SvdX(X), I; args...)
## calculating left-side singular vectors
left_sv = X * ex[2]
return left_sv ./ sqrt(sum(left_sv.^2, 1)), sqrt(ex[1]), ex[2], ex[3], ex[4], ex[5], ex[6]
end

function svds(X; ritzvec::Bool = true, args...)
ex = eigs(SvdX(X), I; ritzvec = ritzvec, args...)
if ! ritzvec
return sqrt(ex[1]), ex[2], ex[3], ex[4], ex[5]
end

## calculating left-side singular vectors
left_sv = X * ex[2]
return left_sv ./ sqrt(sum(left_sv.^2, 1)), sqrt(ex[1]), ex[2], ex[3], ex[4], ex[5], ex[6]
end
4 changes: 2 additions & 2 deletions test/linalg/arnoldi.jl
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Expand Up @@ -8,12 +8,12 @@ let # svds test
## singular values match:
@test_approx_eq S1[2] S2[2][1:2]

## 1st left singular vector
## 1st left singular vector
s1_left = sign(S1[1][3,1]) * S1[1][:,1]
s2_left = sign(S2[1][3,1]) * S2[1][:,1]
@test_approx_eq s1_left s2_left

## 1st right singular vector
## 1st right singular vector
s1_right = sign(S1[3][3,1]) * S1[3][:,1]
s2_right = sign(S2[3][3,1]) * S2[3][:,1]
@test_approx_eq s1_right s2_right
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