August 10, 2011

Please note that this is not regard­ing the Lanc­zos or the PLS bidi­ag­o­nal­iza­tion algo­rithm. This is about the House­holder bidi­ag­o­nal­iza­tion algo­rithm. The dif­fer­ence is huge. For exam­ple, there are no y‑variables in the House­holder decom­po­si­tion. It is a decom­po­si­tion of X that results in a fac­tor­iza­tion with a bidi­ag­o­nal matrix in the mid­dle, sim­i­lar to …

A fast House­holder bidi­ag­o­nal­iza­tion algo­rithm Read More »