In linear algebra, the generalized singular value decomposition (GSVD) is the name of two different techniques based on the singular value decomposition (SVD). The two versions differ because one version decomposes two matrices (somewhat like the higher-order or tensor SVD) and the other version uses a set of constraints imposed on the left and right singular vectors of a single-matrix SVD.
First version: two-matrix decomposition The generalized singular value decomposition (GSVD) is a matrix decomposition on a pair of matrices which generalizes the singular value decomposition. It was introduced by Van Loan in 1976 and later developed by Paige and Saunders, which is the version described here. In contrast to the SVD, the GSVD decomposes simultaneously a pair of matrices with the same number of columns. The SVD and the GSVD, as well as some other possible generalizations of the SVD, are extensively used in the study of the conditioning and regularization of linear systems with respect to quadratic semi-norms. In the following, let F = R {\displaystyle \mathbb {F} =\mathbb {R} } , or F = C {\displaystyle \mathbb {F} =\mathbb {C} } .
Definition The generalized singular value decomposition of matrices A 1 ∈ F m 1 × n {\displaystyle A_{1}\in \mathbb {F} ^{m_{1}\times n}} and A 2 ∈ F m 2 × n {\displaystyle A_{2}\in \mathbb {F} ^{m_{2}\times n}} is A 1 = U 1 Σ 1 [ W ∗ D , 0 D ] Q ∗ , A 2 = U 2 Σ 2 [ W ∗ D , 0 D ] Q ∗ , {\displaystyle {\begin{aligned}A_{1}&=U_{1}\Sigma _{1}[W^{*}D,0_{D}]Q^{*},\\A_{2}&=U_{2}\Sigma _{2}[W^{*}D,0_{D}]Q^{*},\end{aligned}}} where
U 1 ∈ F m 1 × m 1 {\displaystyle U_{1}\in \mathbb {F} ^{m_{1}\times m_{1}}} is unitary,
U 2 ∈ F m 2 × m 2 {\displaystyle U_{2}\in \mathbb {F} ^{m_{2}\times m_{2}}} is unitary,
Q ∈ F n × n {\displaystyle Q\in \mathbb {F} ^{n\times n}} is unitary,
W ∈ F k × k {\displaystyle W\in \mathbb {F} ^{k\times k}} is unitary,
D ∈ R k × k {\displaystyle D\in \mathbb {R} ^{k\times k}} is real diagonal with positive diagonal, and contains the non-zero singular values of C = [ A 1 A 2 ] {\displaystyle C={\begin{bmatrix}A_{1}\\A_{2}\end{bmatrix}}} in decreasing order,
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