So, that depends a bit on what you want to do: These operations are classically implemented in a library called LAPACK, which is really mature (and, it's written in Fortran90). You use it through C++ wrappers like "IT++" or "Armadillo".
Be a bit careful though. The usual way of defining the pseudoinverse of
a martrix with lin. indep. columns is
A⁺ = (A* A)⁻¹ A*
(with * being hermitian transposition).
One of the relatively eternal laws of numerical math seems to be
"you DON'T want to calculate that matrix inverse; it's way more work
than finding the solution to a system of linear equations directly (and
potentially much worse in terms of accuracy[2, (1.2) on p.2])"
even for relatively small (A'A). Therefore, other methods exist, which
tend to be faster, and can, under some assumptions, be more stable[1];
one is based on the singular value decomposition
A = U𝛴V*
TL;DR: LAPACK wrapped for your language of choice, e.g. IT++ has
eigenvalue, and singular value decompositions. You should find the
Pseudoinverse through the singular value decomposition.
Best regards,
Marcus
[1]https://www.johndcook.com/blog/2018/05/05/svd/
[2] S. Rump: "Inversion of Extremely Ill-Conditioned Matrices
in Floating-Point" http://www.ti3.tuhh.de/paper/rump/Ru08a.pdf
On Thu, 2020-01-16 at 20:57 -0800, Laura Arjona wrote:
> Hi all,
>
> Is there any library to use in gnuradio for algebra operations, such as
> matrix eigenvalues, and pseudoinverse? Or I'd need to code them myself in C++?
>
> I need to integrate those operations into my OOT C++ blocks.
>
> Thanks for your time
>
> Best
>
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