RobRSVD

R package RobRSVD: Robust Regularized Singular Value Decomposition. This package provides the function to calculate SVD, regularized SVD, robust SVD and robust regularized SVD method. The robust SVD methods use alternating iteratively reweighted least squares methods. The regularized SVD uses generalized cross validation to choose the optimal smoothing parameters.

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  1. Bravo, Jorge M.; Ayuso, Mercedes; Holzmann, Robert; Palmer, Edward: Addressing the life expectancy gap in pension policy (2021)