[R] GSVD and qr questions

Roy Mendelssohn - NOAA Federal roy.mendelssohn at noaa.gov
Tue May 5 05:56:22 CEST 2015


Hi All:

I posted some of this earlier to the r-sig-mac because at that time I got a Mac specific error, but now I have a more general question.  For a canonical variate analysis (CVA) used in some system identification routines, I need to calculate a generalized svd (GSVD).  On the web there are several scripts that are suppose to work with the LAPACK implementation of GSVD, but when I try them with my matrices I get an index error.  I can save the two arrays using R.matlab and read the matrices into Matlab, and the GSVD function in Matlab works fine for the same arrays.  I get the same error trying to use the GSVD routine in the PEIP package in R.

I have found a Matlab routine that calculates the GSVD using only QR, CHOL and SVD calls, but some of this is outside of what I know and I am trying to translate the routine to R.  I have two questions:

1.  Does anyone know of a working routine for GSVD in R  (and I looked in ‘sos’ that is how I found the one in PEIP)?

2. In the Matlab function I am trying to translate, they call for the QR decomposition  of the matrix A as qr(A,0).  The second argument (0) according to Matlab does the economy QR decomposition:

> qr(A,0) produces the economy-size decomposition. If m > n, only the first n columns of Q and the first n rows of R are computed. If m<=n, this is the same as [Q,R] = qr(A).

Reading over the help for the”qr”  function in R it is unclear that there is a similar way to do an “economy” decomposition with one of the optional arguments.  I am probably being brain-dead, but I don’t see how to do that in the R function.

Thanks for any help.

-Roy M.

**********************
"The contents of this message do not reflect any position of the U.S. Government or NOAA."
**********************
Roy Mendelssohn
Supervisory Operations Research Analyst
NOAA/NMFS
Environmental Research Division
Southwest Fisheries Science Center
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e-mail: Roy.Mendelssohn at noaa.gov www: http://www.pfeg.noaa.gov/

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