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st: Generalized Singular Value Decomposition (GSVD) in Mata
From
"Lorenz Kueng" <[email protected]>
To
[email protected]
Subject
st: Generalized Singular Value Decomposition (GSVD) in Mata
Date
Mon, 8 Aug 2011 12:57:19 -0700
Hi,
Is there a Mata command that computes the generalized singular value
decomposition of two matrices, equivalent to the cgsvd command in Matlab? Or
is there an easy way to build such a function? I searched the list but
haven't found anything yet.
I'm trying to calculate the corner of the L-curve of a higher-order Tikhonov
regularization problem.
Any help is much appreciated.
Thanks,
Lorenz
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