Per the suggestion by @robmaz, RSpectra::svds() now has two new parameters center and scale, to support implicit centering and scaling of matrices in partial SVD. The minimum version for this new feature is RSpectra >= 0.16-0. These two parameters are very useful for principal component analysis (PCA) based on the covariance or correlation matrix, without actually forming them. Below we simulate a random data matrix, and use both R’s built-in prcomp() and the svds() function in RSpectra to compute PCA.

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Yixuan Qiu

Statistics, Data, and Programming

Postdoctoral Researcher

Pittsburgh, PA