ILNumerics may have this, but I have not seen if they do rSVD, and I have no personal experience with the library, but it is, fortunately, available through NuGet.
http://ilnumerics.net
Here are the documents for their implementation of SVD:
http://ilnumerics.net/apidoc/Index.html?topic=html/Overload_ILNumerics_ILMath_svd.htm
There is also a NAG, but it gets paid: http://www.nag.co.uk/numeric/numerical_libraries.asp
I also checked redsvd, and I bet I can either port it to C # for you, or at least get it to compile on windows. If they do not meet your requirements, let me know and I will consider the complexity of the port.
UPDATE:
Tonight he returned home and decided to give him a chance. Here's a very quick way to get redsvd to work on Windows using Visual Studio 2010. I posted it on github:
https://github.com/hoonto/redsvdwin
Open rsvd3.sln in Visual Studio, create it, and you will get the rsvd3.exe file in the Debug directory.
Run this:
C:\Users\MLM\Documents\Visual Studio 2010\Projects\redsvdwin\Debug>rsvd3.exe usage: redsvd --input=string --output=string [options] ... redsvd supports the following format types (one line for each row) [format=dense] (<value>+\n)+ [format=sparse] ((colum_id:value)+\n)+ Example: >redsvd -i imat -o omat -r 10 -f dense compuate SVD for a dense matrix in imat and output omat.U omat.V, and omat.S with the 10 largest eigen values/vectors >redsvd -i imat -o omat -r 3 -f sparse -m PCA compuate PCA for a sparse matrix in imat and output omat.PC omat.SCORE with the 3 largest principal components options: -i, --input input file (string) -o, --output output file prefix (string) -r, --rank rank (int [=10]) -f, --format format type (dense|sparse) See example. (string [=dense]) -m, --method method (SVD|PCA|SymEigen) (string [=SVD])
And here it is. By the way, this creates redsvdMain.cpp, if you want the Incr file with its main file, exclude redsvdMain.cpp and enable redsvdMainIncr.cpp. Since both have a primary in them, I simply excluded the Incr version and created the regular version.
In addition, I included the Eigen3 headers in the github repository and put them in an extra set to configure the solution, so you don’t have to bother with this at all.
Finally, I don’t know how cxxabi.h is for my knowledge in Visual Studio, so I did some cheats, you will see where I made the changes, because they will be commented like this:
//MLM: commented next 3 //... //... //... //MLM: added 1 ...
etc. Therefore, if you need to make adjustments, you will find out where my changes are.