I want to use it in Matlab or Java. Will these two languages be much slower for computing the algorithm compared to C, C++, in case efficiency is an important factor?
I'm aware of that there's a PROPACK and SVDPACK, etc. Seems quite old. What are some popular choices? Are there any paralleled versions existing? If there's no paralleled versions, I plan to make an appropriate sequential version to be parallelized (multiple threads). Parallelization is important for my project since it targets on big datasets. So I suppose I need to modify a chosen codes directly (multithreaded parallelization on the level of vector computation).