Randomized SVD

[termoshtt]

From rust-ml/classical-ml-discussion#1

Algorithm

• https://arxiv.org/abs/0909.4061v2

[nlhepler]

We have an implementation of Randomized SVD that we would be willing to upstream here, based on the divide-and-conquer SVD I PR'd earlier. If no-one is already working on it, I'd be happy to draft another PR. :)

Do note, we made special allowances in that code to handle sparse matrices as served by sprs. This is all very reliant on ndarray::linalg::Dot.

[termoshtt]

If no-one is already working on it, I'd be happy to draft another PR. :)

Great work! AFAIK no one is working on.

we made special allowances in that code to handle sparse matrices as served by sprs.

sprs dependence can be acceptable for this project. It may be better to introduce sprs feature. I'd like to argue this point based on your PR.