randomized_svd(M, n_components, n_oversamples=10, n_iter='auto', power_iteration_normalizer='auto', transpose='auto', flip_sign=True, random_state=0)¶
Computes a truncated randomized SVD
- Mndarray or sparse matrix
Matrix to decompose
Number of singular values and vectors to extract.
- n_oversamplesint (default is 10)
Additional number of random vectors to sample the range of M so as to ensure proper conditioning. The total number of random vectors used to find the range of M is n_components + n_oversamples. Smaller number can improve speed but can negatively impact the quality of approximation of singular vectors and singular values.
- n_iterint or ‘auto’ (default is ‘auto’)
Number of power iterations. It can be used to deal with very noisy problems. When ‘auto’, it is set to 4, unless
n_componentsis small (< .1 * min(X.shape))
n_iterin which case is set to 7. This improves precision with few components.
Changed in version 0.18.
- power_iteration_normalizer‘auto’ (default), ‘QR’, ‘LU’, ‘none’
Whether the power iterations are normalized with step-by-step QR factorization (the slowest but most accurate), ‘none’ (the fastest but numerically unstable when
n_iteris large, e.g. typically 5 or larger), or ‘LU’ factorization (numerically stable but can lose slightly in accuracy). The ‘auto’ mode applies no normalization if
n_iter<= 2 and switches to LU otherwise.
New in version 0.18.
- transposeTrue, False or ‘auto’ (default)
Whether the algorithm should be applied to M.T instead of M. The result should approximately be the same. The ‘auto’ mode will trigger the transposition if M.shape > M.shape since this implementation of randomized SVD tend to be a little faster in that case.
Changed in version 0.18.
- flip_signboolean, (True by default)
The output of a singular value decomposition is only unique up to a permutation of the signs of the singular vectors. If
flip_signis set to
True, the sign ambiguity is resolved by making the largest loadings for each component in the left singular vectors positive.
- random_stateint, RandomState instance or None, optional (default=None)
The seed of the pseudo random number generator to use when shuffling the data, i.e. getting the random vectors to initialize the algorithm. Pass an int for reproducible results across multiple function calls. See Glossary.
This algorithm finds a (usually very good) approximate truncated singular value decomposition using randomization to speed up the computations. It is particularly fast on large matrices on which you wish to extract only a small number of components. In order to obtain further speed up,
n_itercan be set <=2 (at the cost of loss of precision).
Finding structure with randomness: Stochastic algorithms for constructing approximate matrix decompositions Halko, et al., 2009 https://arxiv.org/abs/0909.4061
A randomized algorithm for the decomposition of matrices Per-Gunnar Martinsson, Vladimir Rokhlin and Mark Tygert
An implementation of a randomized algorithm for principal component analysis A. Szlam et al. 2014