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Hi I need to perform a Singular Value Decomposition on large dense square matrices using Map Reduce.

I have already checked the Mahout project but what they provide is a TSQR algorithm http://arbenson.github.io/portfolio/Math221/AustinBenson-math221-report.pdf .

The problem is that I want the full rank and this method does not work in such case. The Distributed Lanczos SVD implementation they were using before it does not suit my case as well.

I found that the TWO-SIDED JACOBI SCHEME could be used for such purpose but I did not manage to find any available implementation.

Does anybody know if and where I can find a reference code?

harpun
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Marco Seravalli
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If it may help - look to spark lib (mlib). It had implementation. You can use it, or looking at it you can make your own. https://spark.apache.org/docs/latest/mllib-dimensionality-reduction.html

Yuurga
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