Distributed PCA or an equivalent We normally have fairly large datasets to model on, just to give you an idea:


over 1M features (sparse, average population of features is around
12%); 
over 60M rows.


A lot of modeling algorithms and tools don't scale to such wide datasets.

So we're looking for a dimensionality reduction implementation that runs distributely (i.e. in Spark/Hadoop/ etc). We think to bring number of features down to several thousand.

Since PCA operate on matrix multiplication, which don't distribute very well over a cluster of servers, we're looking at other algorithms or probably, at other implementations of distributed dimensionality reduction.

Anyone ran into similar issues? What do you do to solve this?

There is a Cornell/Stanford Abstract on "Generalized Low-Rank Models" http://web.stanford.edu/~boyd/papers/pdf/glrm.pdf that talks specifically into this:


page 8 "Parallelizing alternating minimization" tells how it can be
distributed; 
also page 9 "Missing data and matrix completion" talks
how sparse/ missing data can be handled.


GLRM although seems to be what we are looking for, but we can't find good actual implementations of those ideas.


Somebody wrote a version for Spark (e.g.
https://github.com/rezazadeh/spark/tree/glrm/examples/src/main/scala/org/apache/spark/examples/glrm
but it looks more of a proof of a concept rather than a version that
we could use in production);
H2O has a version of GLRM
http://docs.h2o.ai/h2o/latest-stable/h2o-docs/data-science/glrm.html
but it actually doesn't scale to our dataset size (see above).


Update 7/15/2018: Another Abstract is Fast Randomized SVD from Facebook (read here http://tygert.com/spark.pdf ) and also idea to do low-rank matrix approximation using ALS - http://tygert.com/als.pdf . Although there is no clear way how to use them now - see discussion at https://github.com/facebook/fbpca/issues/6

Any other ideas how to tackle this? Other available GLRM or other distributed dimensionalaity reduction implementations?
There is principal component analysis (PCA) in Spark's 
Machine Learning Library (MLlib).