Re: [Toon-members] TooN GR_SVD.h

[Georg Klein]

On 24 Aug 2009, at 19:15, E. Rosten wrote:

> On Mon, 24 Aug 2009, Georg Klein wrote:
>
> > CVSROOT:        /sources/toon
> > Module name:    TooN
> > Changes by:     Georg Klein <georgklein>  09/08/24 17:03:40
> >
> > Added files:
> >         .              : GR_SVD.h
> >
> > Log message:
> > 	Added SVD implementation translated from FORTRAN, in turn  
> > translated from
> > 	ALGOL of Golub and Reinsch. This looks very similar to other  
> > translations
> > 	e.g. the one in Numerical Recipes. It doesn't have many of the  
> > more modern
> >         improvements like the underflow-safe sqrt(a*a + b*b) yet.
> >
> >         Currently only implemented for static-sized matrices.
> >
> > 	I think the algorithm is less mo,dern than used by e.g. LAPACK but  
> > this here
> >         is 4x as fast for small matrices.
>
> Any idea at what kind of sizes the LAPACK one is faster?

Timings in microseconds for the decomposition, double precision
Size    GR-lite GR-full LAPACK
4       3.1     3.2     20.1
6       8.6     9.3     38.3
8       14.3    15.9    64.4
36      393     683     1109
100     5108    11107   12303
150     15323   37625   36527
200     35323   86091   75721

GR-lite means only calculating W, not U or V.
So lapack wins after somewhere between 100 and 150.

The above are double precision. Single precision GR-full.
4       2.1646
6       5.59395
8       10.9096
36      474.338
36      483.207
100     8962.8
150     28750.5
200     66072.3

This all on a 2.6GHZ core 2 duo.