/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.mahout.math.ssvd;
import org.apache.mahout.math.CholeskyDecomposition;
import org.apache.mahout.math.DenseVector;
import org.apache.mahout.math.Matrix;
import org.apache.mahout.math.RandomTrinaryMatrix;
import org.apache.mahout.math.SingularValueDecomposition;
import org.apache.mahout.math.Vector;
/**
* Implements an in-memory version of stochastic projection based SVD. See SequentialOutOfCoreSvd
* for algorithm notes.
*/
public class SequentialBigSvd {
private final Matrix y;
private final CholeskyDecomposition cd1;
private final CholeskyDecomposition cd2;
private final SingularValueDecomposition svd;
private final Matrix b;
public SequentialBigSvd(Matrix A, int p) {
// Y = A * \Omega
y = A.times(new RandomTrinaryMatrix(A.columnSize(), p));
// R'R = Y' Y
cd1 = new CholeskyDecomposition(y.transpose().times(y));
// B = Q" A = (Y R^{-1} )' A
b = cd1.solveRight(y).transpose().times(A);
// L L' = B B'
cd2 = new CholeskyDecomposition(b.times(b.transpose()));
// U_0 D V_0' = L
svd = new SingularValueDecomposition(cd2.getL());
}
public Vector getSingularValues() {
return new DenseVector(svd.getSingularValues());
}
public Matrix getU() {
// U = (Y inv(R)) U_0
return cd1.solveRight(y).times(svd.getU());
}
public Matrix getV() {
// V = (B' inv(L')) V_0
return cd2.solveRight(b.transpose()).times(svd.getV());
}
}