We currently use apache commons math3 library for calculation of SVD. Recently we observed, for large matrices computation is taking time. As an alternative, evaluating OjAlgo library. Math3 library has a getCovariance method on SingularValueDecompostion class. I couldn't find similar API to get the covariance of an SVD in OjAlgo library. Any pointers on this would be greatly helpful.
That same utility method does not exist in ojAlgo, but you could create a PR for it. (Perhaps this should go in the org.ojalgo.data package rather than in the SVD directly.)
Are you aware of the ojalgo-commons-math3 artefact? It may be useful to you if work with both Commons-Math and ojAlgo.
https://github.com/optimatika/ojAlgo-extensions/tree/develop/ojAlgo-commons-math3
https://mvnrepository.com/artifact/org.ojalgo/ojalgo-commons-math3