chenmh_sidi.m

Frequently used algorithms for numerical analysis and signal processing

function [W,S] = Chenmh_Sidi(Rn,Rs);
G = chol(Rn); %Rn = G'*G
G_inv = inv(G);
[U,S] = svd(G_inv'*Rs*G_inv);
W = G_inv*U;             

% Relation between Simultaneous Diagonalization 
% and Generalized Singular Value Decomposition
% p = 100; q = 200; r = 3;
% A = randn(p,r); B = randn(q,r);
% [U,V,X,C,S0] = gsvd(A,B);
% [W,S] = Chenmh_Sidi(A'*A,B'*B);
% [(X^-1)'*(C'*C)^-.5 W]