test_common.m

Frequently used algorithms for numerical analysis and signal processing

clc; clear
x = randn(100,1);
p = 5;
[a,e] = lpc(x,p);
[aa,rr,ee] = Chenmh_LPC(x,p);
[a;aa]
[e;ee]

%% Test Chenmh_CSD
% m = 5; n = 10; r = 2;
% [Q,R] = qr(randn(m,n),0);
% [U,V,D] = Chenmh_CSD(Q,r);
% norm(U'*Q*V-D,'fro')

% G = randn(m,n);
% [U,V,D,X] = Chenmh_GSVD(G,r);
% [U1,U2,X0,C,S] = gsvd(G(1:r,:),G(r+1:end,:));
% U1'*G(1:r,:)*(X0')^-1
% U2'*G(r+1:end,:)*(X0')^-1
% U'*G*(X')^-1
% 
% svd(G(1:r,:)*G(r+1:end,:)')

%% Subspaces.
% n = 10; p = 5; q = 3;
% [G1,R1] = qr(randn(n,p),0);
% [G2,R2] = qr(randn(n,q),0);
% svd(G1'*G2)
% G = [G1';G2'];
% [Q,R] = qr(G,0);
% Q1 = Q(1:p,:); Q2 = Q(p+1:end,:);
% [U,V,D] = Chenmh_CSD(Q,p);
% U1 = U(1:p,1:p); U2 = U(p+1:end,p+1:end);
% C = D(1:p,:); S = D(p+1:end,:); 
% svd(C*V'*R*R'*V*S')