[MAHOUT-792] Add new stochastic decomposition code

• Type: New Feature
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Fix Version/s: 0.6
• Assignee: Ted Dunning
• Reporter: Ted Dunning
• Created: 20/Aug/11 21:33
• Updated: 02/May/13 02:29
• Resolved: 16/Jan/12 06:01

Description

I have figured out some simplification for our SSVD algorithms. This eliminates the QR decomposition and makes life easier.

I will produce a patch that contains the following:

• a CholeskyDecomposition implementation that does pivoting (and thus rank-revealing) or not. This should actually be useful for solution of large out-of-core least squares problems.

• an in-memory SSVD implementation that should work for matrices up to about 1/3 of available memory.

• an out-of-core SSVD threaded implementation that should work for very large matrices. It should take time about equal to the cost of reading the input matrix 4 times and will require working disk roughly equal to the size of the input.

Issue Links

• is blocked by: MAHOUT-790 Redundancy in Matrix API, view or get?
• is depended upon by: MAHOUT-797 MapReduce SSVD: provide alternative B-pipeline per B=R' ^{-1} Y'A