SVD.pseudoSolve

[fommil]

e.g. (in Scala)

def pseudoSolve(m: Matrix, b: Vector) = {
    val svd = SVD.factorize(m)
    val ps = new BandMatrix(m.numRows(), 0, 0)
    // calculate pseudo-inverse of sigma
    svd.getS.zipWithIndex.foreach { case (v, i) =>
        if (v > 0.001) ps.set(i, i, 1 / v)
    }
    val tmpA = new DenseVector(b.size())
    svd.getU.transMult(b, tmpA)
    val tmpB = new DenseVector(b.size())
    ps.mult(tmpA, tmpB)
    tmpA
    svd.getVt.transMult(tmpB, tmpA)
  }

Want to back this issue? Post a bounty on it! We accept bounties via Bountysource.