Parallelize SVD computations c++

Question

So I've would like to do an SVD factorization of a large matrix (1000-25000 x 4096) in C++. I have tried LAPACKE dgesdd, Armadillo svd/svd_econ and Eigen but all of them seem to be single threaded and quite slow. I'm also currently trying to implement a solution based on redsvd.

Do you have any suggestions on how to implement a fast SVD factorization preferably using multi-threading. I've noticed that Matlab is using multi-threaded SVD so it should be possible.

Also, I'm running g++ on a 64-bit Linux machine if that would be of any importance.

Thank you in advance.

Answer 1

Intel's Math Kernel Libraries offer parallel implementations of LAPACKE. They are available for Linux as well.