[REQUEST] Add Singular Value Decomposition

[dsm]

Hi,
if it is possible, can someone add SVD transform .

[christophe0606]

Hi @dsm ,

Thank for the request. It is definitely something I have on my to do list and that I'd like to add to the library.

But before I can start the work, I have concluded I need additional abstractions in CMSIS-DSP to make it easier to build complex kernels. Vectorization and manual unrolling are unfortunately generating codes which are not very readable and maintainable.
So, I need something to help me writing a maintainable (and quick) SVD implementation.

Also, I have not yet decided on which implementation. Some are very fast for small matrices but very slow for bigger ones.

I was thinking perhaps about Jacobi SVD and only for square matrices.

Would you need rectangular matrices also ?

In summary, it is on my to do list but I can communicate any schedule and it is likely to take time before it is available in the library.

[dsm]

Yes great to hear that, I need non-square matrices for pseudoinverse using SVD, I have 100-200 sensor data for curve fitting as 5 or 6 degree polynomial

[dsm]

if anything need, I can help

[dsm]

I think maybe implement svd using method of Golub and Reinsch, that repo is implement in pure c

SVD_golub_reinsch

Can you review this, please?

[christophe0606]

@dsm It is indeed the Golub method I had planned to implement at some point.
Unfortunately, it won't be quick since I have lot of other things to do before.

But thanks for sharing this link. It looks interesting !