Feature Improvement Proposal: Update SVD with Improved Eigen Function

[Aaron Gokaslan <aa...@gmail.com>]

Hello, this is my time using an email based forum so let me know if there
is anything else I need to do. This my third attempt to email the dev list
so fingers crossed. :)

I was reading the most recent survey
<https://madlib.incubator.apache.org/community-artifacts/Apache-MADlib-user-survey-results-Oct-2016.pdf>
results
and one of the features I really agreed on is more scalable SVD. I happened
to look into that issue and found an interesting Stack Overflow post
<https://stackoverflow.com/questions/36959506/eigen-library-svd-is-slow-compared-to-gsl>
about
a new SVD algorithm that has just been officially added to the latest
version of Eigen. According to the documentation
<https://eigen.tuxfamily.org/dox/classEigen_1_1BDCSVD.html> the new
algorithm is much more scalable than the previous one. This would obviously
bump the requirements of Eigen to the latest version, 3.3.1, but the much
faster SVD algorithm would be worth it. I am interested in helping out
implement the feature, but I wanted to have a JIRA issue opened and discuss
how to best proceed as this is my first time contributing to an Apache
project.

TLDR: New version of Eigen released with more scalable SVD, I would like to
see it implemented in Madlib.

Aaron Gokaslan