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.