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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