R/p_ginv_sq.R

In QRFCCA: Quadratically Regularized Functional Canonical Correlation Analysis

p_ginv_sq <-
function(X,p){
  X.eigen = eigen(X);
  X.rank = sum(X.eigen$values>1e-8);
  X.value = X.eigen$values[1:X.rank]^(-1*p);
  if (length(X.value)==1){
    D = as.matrix(X.value);
  }else{
    D = diag(X.value);
  }
  
  rlt = X.eigen$vectors[,1:X.rank] %*% D %*% t(X.eigen$vectors[,1:X.rank]);
  return(rlt);
}