add compactSVDTol

2 files changed, 7 insertions, 2 deletions

diff --git a/packages/base/src/Internal/Algorithms.hs b/packages/base/src/Internal/Algorithms.hs
index d5cf98e..7f757d7 100644
--- a/packages/base/src/Internal/Algorithms.hs
+++ b/packages/base/src/Internal/Algorithms.hs
@@ -292,9 +292,13 @@ fromList [35.18264833189422,1.4769076999800903]
 
 -}
 compactSVD :: Field t  => Matrix t -> (Matrix t, Vector Double, Matrix t)
-compactSVD m = (u', subVector 0 d s, v') where
+compactSVD = compactSVDTol 1
+
+-- | @compactSVDTol r@ is similar to `compactSVDTol`, but uses tolerance @tol=r*g*eps*(max rows cols)@ to distinguish nonzero singular values, where @g@ is the greatest singular value.
+compactSVDTol :: Field t  => Double -> Matrix t -> (Matrix t, Vector Double, Matrix t)
+compactSVDTol r m = (u', subVector 0 d s, v') where
     (u,s,v) = thinSVD m
-    d = rankSVD (1*eps) m s `max` 1
+    d = rankSVD (r*eps) m s `max` 1
     u' = takeColumns d u
     v' = takeColumns d v
 
diff --git a/packages/base/src/Numeric/LinearAlgebra.hs b/packages/base/src/Numeric/LinearAlgebra.hs
index dee66c1..626ee52 100644
--- a/packages/base/src/Numeric/LinearAlgebra.hs
+++ b/packages/base/src/Numeric/LinearAlgebra.hs
@@ -117,6 +117,7 @@ module Numeric.LinearAlgebra (
     svd,
     thinSVD,
     compactSVD,
+    compactSVDTol,
     singularValues,
     leftSV, rightSV,