[R] Generalized Singular Value Decomposition (GSVD)

Peter Dalgaard p.dalgaard at biostat.ku.dk
Mon Aug 30 18:50:14 CEST 2004

"Camarda, Carlo Giovanni" <Camarda at demogr.mpg.de> writes:

> Dear R-users,
> I couldn't find a function or some help in R-project web about the
> Generalized Singular Value Decomposition. In MatLab there is a simple
> function for this algebric issue (gsvd). Is there anything like that in R?
> And, if not, could you help me to apply this method in R?
> Thanks in advance, Giancarlo

We do ship GSVD in the Lapack module (function DDGSVD) so it is "just" a
matter of finding out how to interface to it. Beware that the notation
appears to be somewhat different from that of Matlab.

If one of your A,B matrices is nonsingular, I think you can do it with
ordinary SVD and a bit of elbow grease.

   O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907

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