| svd {base} | R Documentation |
Compute the singular-value decomposition of a rectangular matrix.
svd(x, nu = min(n, p), nv = min(n, p))
La.svd(x, nu = min(n, p), nv = min(n, p), method = c("dgesdd", "dgesvd"))
x |
a matrix whose SVD decomposition is to be computed. |
nu |
the number of left singular vectors to be computed.
This must be one of |
nv |
the number of right singular vectors to be computed.
This must be one of |
method |
The LAPACK routine to use in the real case. |
The singular value decomposition plays an important role in many statistical techniques.
svd provides an interface to the LINPACK routine DSVDC.
La.svd provides an interface to the LAPACK routines DGESVD and
DGESDD. The latter is usually substantially faster if singular
vectors are required: see
http://www.cs.berkeley.edu/~demmel/DOE2000/Report0100.html.
Most benefit is seen with an optimized BLAS system.
La.svd is preferred to svd for new projects, but it is
not an exact replacement as it returns the transpose of the right
singular vector matrix, and the signs of the singular vectors may differ
from those given by svd. (They may also differ between methods
and between platforms.)
Both functions handle complex matrices via LAPACK routine ZGESVD.
Computing the singular vectors is the slow part for large matrices.
Using method="dgesdd" requires IEEE 754 arithmetic. Should
this not be supported on your platform, method="dgesvd" is
used, with a warning.
The SVD decomposition of the matrix as computed by LINPACK,
\bold{X = U D V'},
where \bold{U} and \bold{V} are
orthogonal, \bold{V'} means V transposed, and
\bold{D} is a diagonal matrix with the singular
values D_{ii}. Equivalently, \bold{D = U' X V},
which is verified in the examples, below.
The components in the returned value correspond directly to the values returned by DSVDC.
d |
a vector containing the singular values of |
u |
a matrix whose columns contain the left singular vectors of
|
v |
a matrix whose columns contain the right singular vectors of
|
For La.svd the return value replaces v by vt, the
(conjugated if complex) transpose of v.
Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.
Anderson. E. and ten others (1999)
LAPACK Users' Guide. Third Edition. SIAM.
Available on-line at
http://www.netlib.org/lapack/lug/lapack_lug.html.
eigen, qr.
capabilities to test for IEEE 754 arithmetic.
hilbert <- function(n) { i <- 1:n; 1 / outer(i - 1, i, "+") }
str(X <- hilbert(9)[,1:6])
str(s <- svd(X))
Eps <- 100 * .Machine$double.eps
D <- diag(s$d)
stopifnot(abs(X - s$u %*% D %*% t(s$v)) < Eps)# X = U D V'
stopifnot(abs(D - t(s$u) %*% X %*% s$v) < Eps)# D = U' X V
X <- cbind(1, 1:7)
str(s <- svd(X)); D <- diag(s$d)
stopifnot(abs(X - s$u %*% D %*% t(s$v)) < Eps)# X = U D V'
stopifnot(abs(D - t(s$u) %*% X %*% s$v) < Eps)# D = U' X V