Sqrt of large correlation matrix

Posted by ian_dfw on Jul 14, 2016; 12:23pm
URL: http://quantlib.414.s1.nabble.com/Sqrt-of-large-correlation-matrix-tp17596.html

I am a risk manager and trying to run Monte Carolo sim for a large number of issues. So far I have a 4000 x 4000 correlation matrix. With rankreducedSqrt function with Spectral and 100% retention, it took 3 hrs to complete the calculation.  Am I doing this the most efficient way? Is there anyway to improve performance wise?  Thanks.  Following is the code:

rankReducedSqrt(*corr_mat, 4000, 1.0, SalvagingAlgorithm::Spectral);