scikit-learn/scikit-learn — pull request #2406 by dengemann (2013-08-29 20:06:05+00:00)
Title: WIP/ENH: use randomized_svd in FactorAnalysis (addresses #1272)

We can change the API later for WIP I'd like to keep the use_randomized_svd flag.
So far there's only one issue, the loglikelihood does not sum up. The error is bigger for lower rank problems. For n_components == n_features there is maximum match, often around 2 decimals as compared to 100 to 10, depending on data.
Downstream applications seem reasonably sane while the speed + memory benefit is highly significant.
![factor_analysis_svd_comparison](https://f.cloud.github.com/assets/1908618/1052929/170a620a-10e6-11e3-81c1-57725462fce6.png)

See https://gist.github.com/dengemann/6379368

Priorities:
- fix test
- settle API
- think about warm start

cc @agramfort @ogrisel