From: Laszlo Sragner
Date: Wed, 15 Nov 2006 10:35:18 +0000
if X is an N x M (N>>M) matrix let C = X' * X and C = VDV'
if w is a Mx1 vector what is the diagonalization of ( C + ww' )?
I understand that the trick is to diagonalize (D+pp') where p=Vw
and that this is the heart of the divide and conquer algorithm
but are there any LAPACK function to do it?
I am also interested to do an SVD on
[ X ]
[ -- ]
which is an analogous problem and interesting if C is rank defficient.
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