Gradient-Type Algorithms for Partial Singular Value Decomposition
Raziel Haimi-Cohen, Arnon Dov Cohen · IEEE Transactions on Pattern Analysis and Machine Intelligence · 1987
It is often desirable to calculate only a few terms of the SVD expansion of a matrix, corresponding to the largest or smallest singular values. Two algorithms, based on gradient and conjugate gradient search, are proposed for this purpose. SVD is computed term by term in a decreasing or increasing order of singular values. The algorithms are simple to implement and are especially advantageous with large matrices.