Sparse plus low rank module (under development)

Implementation of two classes to handle matrices that can be written as the sum of a sparse matrix and a low rank matrix.

Please note that this library is still under active development. It has only been tested on a small number of cases, and further experiments must be conducted to ensure its proper functioning.

Supported operations

• Low rank matrices : right and left multiplication by another matrix
  
  
• Sparse plus low rank matrices : right and left multiplication by another matrix, rank-restricted singular value decomposition (SVD)
  
  

pip installation

Run the following command :

pip install -e git+https://github.com/shimo-lab/splr#egg=splr

Tests

Run pytest to run the tests.

References

• Hastie et al., matrix completion and low-rank SVD via fast alternating least square, Journal of Machine Learning Research, 2015
  
  
• Hastie et al., softImpute : matrix completion via iterative soft-thresholded SVD, R package, 2015