Add LOBPCG's SVD variant?

JuliaLinearAlgebra / IterativeSolvers.jl

Iterative algorithms for solving linear systems, eigensystems, and singular value problems

MIT License

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Add LOBPCG's SVD variant? #252

Open bethandtownes opened 5 years ago

bethandtownes commented 5 years ago

According to Wikipedia page for LOBPCG, it is possible to compute truncated SVD of a matrix A using LOBPCG as well without explicitly forming A'A. Would it be a good idea to implement this feature?

lobpcg commented 5 years ago

See https://github.com/scipy/scipy/issues/9275 https://github.com/scikit-learn/scikit-learn/pull/12319