dsvd.m

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function [x_lambda,rho,eta] = dsvd(U,s,V,b,lambda) 
%DSVD Damped SVD and GSVD regularization. 
% 
% [x_lambda,rho,eta] = dsvd(U,s,V,b,lambda) 
% [x_lambda,rho,eta] = dsvd(U,sm,X,b,lambda) ,  sm = [sigma,mu] 
% 
% Computes the damped SVD solution defined as 
%    x_lambda = V*inv(diag(s + lambda))*U'*b . 
% If lambda is a vector, then x_lambda is a matrix such that 
%    x_lambda = [ x_lambda(1), x_lambda(2), ... ] . 
% 
% If sm and X are specified, then the damped GSVD solution: 
%    x_lambda = X*[ inv(diag(sigma + lambda*mu)) 0 ]*U'*b 
%                 [            0                 I ] 
% is computed. 
% 
% The solution norm (standard-form case) or seminorm (general-form
% case) and the residual norm are returned in eta and rho. 
 
% Reference: M. P. Ekstrom & R. L. Rhoads, "On the application of 
% eigenvector expansions to numerical deconvolution", J. Comp. 
% Phys. 14 (1974), 319-340. 
% The extension to GSVD is by P. C. Hansen. 
 
% Per Christian Hansen, IMM, April 14, 2003. 
 
% Initialization. 
if (min(lambda)<0) 
  error('Illegal regularization parameter lambda') 
end 
m = size(U,1);
n = size(V,1);
[p,ps] = size(s); 
beta = U(:,1:p)'*b; 
ll = length(lambda); x_lambda = zeros(n,ll); 
rho = zeros(ll,1); eta = zeros(ll,1); 
 
% Treat each lambda separately. 
if (ps==1)  
  
  % The standard-form case.
  for i=1:ll 
    x_lambda(:,i) = V(:,1:p)*(beta./(s + lambda(i))); 
    rho(i) = lambda(i)*norm(beta./(s + lambda(i))); 
    eta(i) = norm(x_lambda(:,i)); 
  end
  if (nargout > 1 & size(U,1) > p) 
    rho = sqrt(rho.^2 + norm(b - U(:,1:n)*[beta;U(:,p+1:n)'*b])^2); 
  end
  
elseif (m>=n)
      
  % The overdetermined or square general-form case.
  x0 = V(:,p+1:n)*U(:,p+1:n)'*b;  
  for i=1:ll
    xi = beta./(s(:,1) + lambda(i)*s(:,2));
    x_lambda(:,i) = V(:,1:p)*xi + x0; 
    rho(i) = lambda(i)*norm(beta./(s(:,1)./s(:,2) + lambda(i))); 
    eta(i) = norm(s(:,2).*xi); 
  end 
  if (nargout > 1 & size(U,1) > p) 
    rho = sqrt(rho.^2 + norm(b - U(:,1:n)*[beta;U(:,p+1:n)'*b])^2); 
  end
  
else
    
  % The underdetermined general-form case.
  x0 = V(:,p+1:m)*U(:,p+1:m)'*b;  
  for i=1:ll
    xi = beta./(s(:,1) + lambda(i)*s(:,2));
    x_lambda(:,i) = V(:,1:p)*xi + x0; 
    rho(i) = lambda(i)*norm(beta./(s(:,1)./s(:,2) + lambda(i))); 
    eta(i) = norm(s(:,2).*xi); 
  end

end