Skip to contents

Generalized PLS-SVD via Implicit Operator (memory-safe)

Source: R/gplssvd_op.R
gplssvd_op.Rd

Compute the top-k singular triplets of \(S = Xe' Ye\) without materializing the whitened matrices \(Xe = Mx^{1/2} X Wx^{1/2}\), \(Ye = My^{1/2} Y Wy^{1/2}\). Works with dense/sparse constraints.

Usage

gplssvd_op(
  X,
  Y,
  XLW = NULL,
  YLW = NULL,
  XRW = NULL,
  YRW = NULL,
  k = 2,
  center = FALSE,
  scale = FALSE,
  svd_backend = c("RSpectra", "irlba"),
  svd_opts = list(tol = 1e-07, maxitr = 1000)
)

Arguments

X

n x I matrix (numeric or Matrix)

Y

n x J matrix (numeric or Matrix)

XLW

Row metric for X (M_X): NULL/identity, numeric length-n, diagonalMatrix, or PSD Matrix

YLW

Row metric for Y (M_Y)

XRW

Column metric for X (W_X)

YRW

Column metric for Y (W_Y)

k

Number of components

center, scale

Logical; pre-center/scale columns of X, Y before metrics

svd_backend

One of "RSpectra" (default) or "irlba"

svd_opts

List of options for the backend (e.g., tol, maxitr)

Value

list with elements d, u, v, p, q, fi, fj, lx, ly, k, dims, center, scale

Examples

set.seed(1)
X <- matrix(rnorm(40 * 6), 40, 6)
Y <- matrix(rnorm(40 * 4), 40, 4)
op <- gplssvd_op(X, Y, k = 2, center = TRUE)
round(op$d, 3)
#> [1] 20.428 14.384