Description

The code https://github.com/scikit-learn/scikit-learn/blob/master/sklearn/decomposition/pca.py currently supports only

svd_solver : string {'auto', 'full', 'arpack', 'randomized'}

while LOBPCG https://docs.scipy.org/doc/scipy/reference/generated/scipy.sparse.linalg.lobpcg.html is already used in http://scikit-learn.org/stable/modules/generated/sklearn.manifold.SpectralEmbedding.html and http://scikit-learn.org/stable/modules/generated/sklearn.cluster.spectral_clustering.html

Steps/Code to Reproduce

N/A

Expected Results

LOBPCG is expected to outperform all currently available SVD solvers for PCA for large problems, e.g., see comments at https://www.mathworks.com/matlabcentral/fileexchange/48-lobpcg-m

Actual Results

Not supported

Versions

All