[R] GSVD and qr questions
Roy Mendelssohn - NOAA Federal
roy.mendelssohn at noaa.gov
Tue May 5 05:56:22 CEST 2015
I posted some of this earlier to the r-sig-mac because at that time I got a Mac specific error, but now I have a more general question. For a canonical variate analysis (CVA) used in some system identification routines, I need to calculate a generalized svd (GSVD). On the web there are several scripts that are suppose to work with the LAPACK implementation of GSVD, but when I try them with my matrices I get an index error. I can save the two arrays using R.matlab and read the matrices into Matlab, and the GSVD function in Matlab works fine for the same arrays. I get the same error trying to use the GSVD routine in the PEIP package in R.
I have found a Matlab routine that calculates the GSVD using only QR, CHOL and SVD calls, but some of this is outside of what I know and I am trying to translate the routine to R. I have two questions:
1. Does anyone know of a working routine for GSVD in R (and I looked in ‘sos’ that is how I found the one in PEIP)?
2. In the Matlab function I am trying to translate, they call for the QR decomposition of the matrix A as qr(A,0). The second argument (0) according to Matlab does the economy QR decomposition:
> qr(A,0) produces the economy-size decomposition. If m > n, only the first n columns of Q and the first n rows of R are computed. If m<=n, this is the same as [Q,R] = qr(A).
Reading over the help for the”qr” function in R it is unclear that there is a similar way to do an “economy” decomposition with one of the optional arguments. I am probably being brain-dead, but I don’t see how to do that in the R function.
Thanks for any help.
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