We currently use apache commons math3 library for calculation of SVD. Recently we observed, for large matrices computation is taking time. As an alternative, evaluating OjAlgo library. Math3 library has a getCovariance method on SingularValueDecompostion class. I couldn't find similar API to get the covariance of an SVD in OjAlgo library. Any pointers on this would be greatly helpful.
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That same utility method does not exist in ojAlgo, but you could create a PR for it. (Perhaps this should go in the org.ojalgo.data package rather than in the SVD directly.)
Are you aware of the ojalgo-commons-math3 artefact? It may be useful to you if work with both Commons-Math and ojAlgo.
https://github.com/optimatika/ojAlgo-extensions/tree/develop/ojAlgo-commons-math3
https://mvnrepository.com/artifact/org.ojalgo/ojalgo-commons-math3
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