Singular value soft-thresholding via the polar decomposition

Singular value soft-thresholding can be computed via a reduction to the matrix polar decomposition, which allows one to exploit GPU-friendly algorithms for computing the polar decomposition.

Singular value soft-thresholding can be computed via a reduction to the matrix polar decomposition, which allows one to exploit GPU-friendly algorithms for computing the polar decomposition. Empirically, there is a significant speed-up on GPUs compared to the standard approach…