New Formulation and Computation for Generalized Singular Values of Grassman Matrix Pair

Wei-Wei Xu, Michael K. Ng, Zheng-Jian Bai

Published 2020-04-05Version 1

In this paper, we derive new model formulations for computing generalized singular values of a Grassman matrix pair. These new formulations make use of truncated filter matrices to locate the $i$-th generalized singular value of a Grassman matrix pair. The resulting matrix optimization problems can be solved by using numerical methods involving Newton's method on Grassmann manifold. Numerical examples on synthetic data sets and gene expression data sets are reported to demonstrate the high accuracy and the fast computation of the proposed new ormulations for computing arbitrary generalized singular value of Grassman matrix pair.