We present a new numerical method for computing the GSVD of two matrices A and B. This method is a variation on Paige's method. It differs from previous algorithms in guaranteeing both backward stability and convergence. There are two innovations. The first is a new preprocessing step which reduces A and B to upper triangular forms satisfying certain rank conditions. The second is a new 2 by 2 triangular GSVD algorithm, which constitutes the inner loop of Paige's method. We present proofs of stability and convergence of our method, and demonstrate examples on which all previous algorithms fail.
Title
Computing the Generalized Singular Value Decomposition
Published
1991-08-01
Full Collection Name
Electrical Engineering & Computer Sciences Technical Reports
Other Identifiers
CSD-91-645
Type
Text
Extent
24 p
Archive
The Engineering Library
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