ttls

(PublicToolbox/regutools/ttls.m in BrainStorm 2.0 (Alpha))

Function Synopsis

[x_k,rho,eta] = ttls(V1,k,s1)

Help Text

TTLS Truncated TLS regularization.

 [x_k,rho,eta] = ttls(V1,k,s1)

 Computes the truncated TLS solution
    x_k = - V1(1:n,k+1:n+1)*pinv(V1(n+1,k+1:n+1))
 where V1 is the right singular matrix in the SVD of the matrix
    [A,b] = U1*diag(s1)*V1' .

 If k is a vector, then x_k is a matrix such that
    x_k = [ x_k(1), x_k(2), ... ] .
 If k is not specified, k = n is used.

 The solution norms and TLS residual norms corresponding to x_k are
 returned in eta and rho, respectively.  Notice that the singular
 values s1 are required to compute rho.

Cross-Reference Information

fil_fac                            C:\BrainStorm_2001\PublicToolbox\regutools\fil_fac.m

Listing of function C:\BrainStorm_2001\PublicToolbox\regutools\ttls.m

function [x_k,rho,eta] = ttls(V1,k,s1)
%TTLS Truncated TLS regularization.
%
% [x_k,rho,eta] = ttls(V1,k,s1)
%
% Computes the truncated TLS solution
%    x_k = - V1(1:n,k+1:n+1)*pinv(V1(n+1,k+1:n+1))
% where V1 is the right singular matrix in the SVD of the matrix
%    [A,b] = U1*diag(s1)*V1' .
%
% If k is a vector, then x_k is a matrix such that
%    x_k = [ x_k(1), x_k(2), ... ] .
% If k is not specified, k = n is used.
%
% The solution norms and TLS residual norms corresponding to x_k are
% returned in eta and rho, respectively.  Notice that the singular
% values s1 are required to compute rho.

% Per Christian Hansen, UNI-C, 03/18/93.

% Initialization.
[n1,m1] = size(V1); n = n1-1;
if (m1 ~= n1), error('The matrix V1 must be square'), end
if (nargin == 1), k = n; end
lk = length(k);
if (min(k) < 1 | max(k) > n)
  error('Illegal truncation parameter k')
end
x_k = zeros(n,lk);
if (nargout > 1)
  if (nargin < 3)
    error('The singular values must also be specified')
  end
  ns = length(s1); rho = zeros(lk,1);
end
if (nargout==3), eta = zeros(lk,1); end

% Treat each k separately.
for j=1:lk
  i = k(j);
  v = V1(n1,i+1:n1); gamma = 1/(v*v');
  x_k(:,j) = - V1(1:n,i+1:n1)*v'*gamma;
  if (nargout > 1), rho(j) = norm(s1(i+1:ns)); end
  if (nargout == 3), eta(j) = sqrt(gamma - 1); end
end