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MathGroup Archive 2001

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Looking for Generalized SVD or C-S decomposition Mathematica code

  • To: mathgroup at smc.vnet.net
  • Subject: [mg26533] Looking for Generalized SVD or C-S decomposition Mathematica code
  • From: riazzi at hotmail.com (Will Riazzi)
  • Date: Wed, 3 Jan 2001 04:08:49 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

I want to apply Tikhinov regularization to a problem of mine and to do
that I need code for the generalized singular value decomposition or
C-S decomposition of the matrix pair (A,B).

Something like:
{U,V,X,C,S} = GSVD(A,B);
such that U and V are unitary matrices, X is a non-singular square
matrix, and C and S are nonnegative diagonal matrices such that

A = U*C*X'
B = V*S*X'
C'*C + S'*S = I 

Does anyone have such Mathematica code that they're willing to share?

Regards,
     Will R.


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