A New Preprocessing Algorithm for the Computation of the Generalized Singular Value Decomposition
Zhaojun Bai, Hongyuan Zha · SIAM Journal on Scientific Computing · 1993
In this note a new algorithm is proposed for the preprocessing phase of Paige’s algorithm for computing the generalized singular value decomposition (GSVD). This new algorithm substantially reduces the complexity of Paige’s algorithm and makes it much easier to implement. It is also proved that the preprocessing phase is backward stable and a numerical example is demonstrated.