Statistics and Its Interface
Volume 9 (2016)
Special Issue on Statistical and Computational Theory and Methodology for Big Data
Guest Editors: Ming-Hui Chen (University of Connecticut); Radu V. Craiu (University of Toronto); Faming Liang (University of Florida); and Chuanhai Liu (Purdue University)
A split-and-merge approach for singular value decomposition of large-scale matrices
Pages: 453 – 459
We propose a new SVD algorithm based on the split-and-merge strategy, which possesses an embarrassingly parallel structure and thus can be efficiently implemented on a distributed or multicore machine. The new algorithm can also be implemented in serial for online eigen-analysis. The new algorithm is particularly suitable for big data problems: Its embarrassingly parallel structure renders it usable for feature screening, while this has been beyond the ability of the existing parallel SVD algorithms.
feature screening, parallel computation, online eigen-learning, singular value decomposition