rsvd

R package rsvd. Randomized singular value decomposition (rsvd) is a very fast probabilistic algorithm that can be used to compute the near optimal low-rank singular value decomposition of massive data sets with high accuracy. SVD plays a central role in data analysis and scientific computing. SVD is also widely used for computing (randomized) principal component analysis (PCA), a linear dimensionality reduction technique. Randomized PCA (rpca) uses the approximated singular value decomposition to compute the most significant principal components. This package also includes a function to compute (randomized) robust principal component analysis (RPCA). In addition several plot functions are provided.