Description: CGSVD Compact generalized SVD of a matrix pair in regularization problems.
sm = cgsvd(A,L)
[U,sm,X,V] = cgsvd(A,L) , sm = [sigma,mu]
Computes the generalized SVD of the matrix pair (A,L):
[ A ] = [ U 0 ]*[ diag(sigma) 0 ]*inv(X)
[ L ] [ 0 V ] [ 0 eye(n-p) ]
[ diag(mu) 0 ]
where
U is m-by-n , sigma is p-by-1
V is p-by-p , mu is p-by-1
X is n-by-n .
It is assumed that m >= n >= p, which is true in regularization problems.
Reference: C. F. Van Loan, Computing the CS and the generalized
singular value decomposition , Numer. Math. 46 (1985), 479-491.
Per Christian Hansen, IMM, 12/19/97.
Initialization.
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cgsvd.m
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