Details

Given the matrix X of size n x p, the problem is to compute the Singular Value Decomposition (SVD)

X = UΣV t,

where

  • U is an orthogonal matrix of size n x n
  • Σ is a rectangular diagonal matrix of size n x p with non-negative values on the diagonal, called singular values
  • V t is an orthogonal matrix of size p x p
Columns of the matrices U and V are called left and right singular vectors, respectively.

For more complete information about compiler optimizations, see our Optimization Notice.
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