Dear all,

I often use the library of singular value decomposition (SVD) in Eigen,
but sometimes I am wondering if I could use generalized singular value decomposition (GSVD).
<https://en.wikipedia.org/wiki/Generalized_singular_value_decomposition>

If you know how to implement it in the scheme of Eigen, or just C++ techniques,
I would appreciate it if you could tell me.

Kind regards

Implementing GSVD with Eigen3 seems like a really cool project. Here are some free-access references that may help.
As a disclaimer, I haven't personally and thoroughly looked at these papers and can't endorse their completeness or correctness.

1) On page 4 of this paper, the method is described at a high level. The article is peer-reviewed and the journal it was published to has an impact factor of 1.883.
Link:
http://www.math.kent.edu/~reichel/publi ... plgsvd.pdf
Citation:
Dykes, Laura, and Lothar Reichel. "Simplified GSVD computations for the solution of linear discrete ill-posed problems." Journal of Computational and Applied Mathematics 255 (2014): 15-27.


2) This paper is a CS undergrad's thesis and shows how to implement GSVD in python.
Link:
https://www.cs.utah.edu/docs/techreport ... 19-003.pdf
Citation:
Luo, Rui. "Computing and Visualizing the Generalized Singular Value Decomposition in Python." (2019).