Generalized Singular Value Decomposition: LAPACK Computational Routines

This topic describes LAPACK computational routines used for finding the generalized singular value decomposition (GSVD) of two matrices A and B as

UHAQ = D1*(0 R),

VHBQ = D2*(0 R),

where U, V, and Q are orthogonal/unitary matrices, R is a nonsingular upper triangular matrix, and D1, D2 are “diagonal” matrices of the structure detailed in the routines description section.

Table “Computational Routines for Generalized Singular Value Decomposition” lists LAPACK routines (FORTRAN 77 interface) that perform generalized singular value decomposition of matrices. The corresponding routine names in the Fortran 95 interface are without the first symbol.

Computational Routines for Generalized Singular Value Decomposition

Routine name

Operation performed

ggsvp

Computes the preprocessing decomposition for the generalized SVD

ggsvp3

Performs preprocessing for a generalized SVD.

ggsvd3

Computes generalized SVD.

tgsja

Computes the generalized SVD of two upper triangular or trapezoidal matrices

You can use routines listed in the above table as well as the driver routine ggsvd to find the GSVD of a pair of general rectangular matrices.

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