Could some help me on this:
I want to perform economy size bidiagonalization of a m x n matrix A (m<n), such that A=QBP' where B is a bidiagonal matrix of size m x m, and Q, P are orthogonal matrices.
Currently, I use following two functions to do the job, from which I can get the factorization A=USV' where S is bidiagonal matrix of size m x n.
I can truncate the matrix S and V to get correct B and P. However this is not optimal in term of speed. From my test, this method is even slower than performing a economy SVD. How can I speed up my function so that I can directly get the economy size result? Thanks in advance.