Compute the pseudoinverse of a matrix using the
SVD-construction
Usage
pinv(A, eps = 1e-08)
Arguments
A
[numeric] matrix
eps
[numeric] tolerance for determining zero singular values
Details
The Moore-Penrose pseudoinverse (sometimes called the generalized inverse) \(\boldsymbol{A}^+\) of a matrix \(\boldsymbol{A}\)
has the property that \(\boldsymbol{A}^+\boldsymbol{AA}^+ = \boldsymbol{A}\). It can be constructed as follows.
Compute the singular value decomposition \(\boldsymbol{A} = \boldsymbol{UDV}^T\)
Replace diagonal elements in \(\boldsymbol{D}\) of which the absolute values are larger than some limit eps with their reciprocal values
Compute \(\boldsymbol{A}^+ = \boldsymbol{UDV}^T\)
References
S Lipshutz and M Lipson (2009) Linear Algebra. In: Schuam's outlines. McGraw-Hill