Hello,

I need to write a Generalized SVD (GSVD) to solve the linear LS problem:

min { || Am - b || + lambda||Lm || }

where L is second order discrete differential operator (ie, second-order Tikhonov regularization).

I could not find a GSVD solver in Eigen, so I decided to write my own.

I would like to use this opportunity to learn how to expand the Eigen library, and add GSVD and TGSVD solvers.

I will use the standard algorithm. I am looking for an example on how to start the new class/Template. Any help will be much appreciated.

Thanks in advance

Alberto V.

You can take inspiration with the generalized Schur/eigenvalue decompositions in src/Eigenvalues/