tsvd.m

来自「这是在网上下的一个东东」· M 代码 · 共 38 行

function [x_k,rho,eta] = tsvd(U,s,V,b,k) 
%TSVD Truncated SVD regularization. 
% 
% [x_k,rho,eta] = tsvd(U,s,V,b,k) 
% 
% Computes the truncated SVD solution 
%    x_k = V(:,1:k)*inv(diag(s(1:k)))*U(:,1:k)'*b . 
% If k is a vector, then x_k is a matrix such that 
%    x_k = [ x_k(1), x_k(2), ... ] . 
% 
% The solution and residual norms are returned in eta and rho. 
 
% Per Christian Hansen, IMM, 12/21/97. 
 
% Initialization. 
[n,p] = size(V); lk = length(k); 
if (min(k)<0 | max(k)>p) 
  error('Illegal truncation parameter k') 
end 
x_k = zeros(n,lk); 
eta = zeros(lk,1); rho = zeros(lk,1); 
beta = U(:,1:p)'*b; 
xi = beta./s; 
 
% Treat each k separately. 
for j=1:lk 
  i = k(j); 
  if (i>0) 
    x_k(:,j) = V(:,1:i)*xi(1:i); 
    eta(j) = norm(xi(1:i)); 
    rho(j) = norm(beta(i+1:p)); 
  end 
end 
 
if (nargout > 1 & size(U,1) > p) 
  rho = sqrt(rho.^2 + norm(b - U(:,1:p)*beta)^2); 
end