Cross-Validation for the SVD (Bi-Cross-Validation)

Methods for choosing the rank of an SVD (singular value decomposition) approximation via cross validation. The package provides both Gabriel-style "block" holdouts and Wold-style "speckled" holdouts. It also includes an implementation of the SVDImpute algorithm. For more information about Bi-cross-validation, see Owen & Perry's 2009 AoAS article (at ) and Perry's 2009 PhD thesis (at ).

About bcv

Methods for choosing the rank of an SVD approximation via cross validation. The package provides both Gabriel-style "block" holdouts and Wold-style "speckled" holdouts. It also includes an implementation of the SVDImpute algorithm. For more information about Bi-cross-validation, see Owen & Perry's 2009 AoAS article and Perry's 2009 PhD thesis.

Installation

bcv is available on CRAN, so installation is as simple as:

install.packages("bcv")

You can install the latest development version of the code using the devtools R package.

# Install devtools, if you haven't already.
install.packages("devtools")

library(devtools)
install_github("michbur/bcv")