Computing the generalized singular
values/vectors of large
sparse or structured matrix pairs |
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Authors: | Hongyuan Zha |
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Institution: | (1) Department of Computer Science and Engineering, The Pennsylvania State University, University Park, PA 16802, USA; e-mail: zha@cse.psu.edu , US |
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Abstract: | Summary.
We present a numerical algorithm for computing a few
extreme generalized
singular values and corresponding vectors of a sparse
or structured matrix
pair .
The algorithm is based on the CS decomposition and
the Lanczos
bidiagonalization process.
At each iteration step of the
Lanczos process, the solution to
a linear least squares problem with
as
the coefficient matrix is approximately computed, and
this consists the only interface
of the algorithm with
the matrix pair .
Numerical results are also
given to demonstrate
the feasibility and efficiency of the algorithm.
Received
April 1, 1994 / Revised version received December 15, 1994 |
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Keywords: | Mathematics Subject Classification (1991):65F15 |
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