R/ginv.R

In Renvlp: Computing Envelope Estimators

ginv <- function (X, tol = sqrt(.Machine$double.eps)) {
  if (length(dim(X)) > 2L || !(is.numeric(X) || is.complex(X))) 
    stop("'X' must be a numeric or complex matrix")
  if (!is.matrix(X)) 
    X <- as.matrix(X)
  Xsvd <- svd(X)
  if (is.complex(X)) 
    Xsvd$u <- Conj(Xsvd$u)
  Positive <- Xsvd$d > max(tol * Xsvd$d[1L], 0)
  if (all(Positive)) 
    Xsvd$v %*% (1/Xsvd$d * t(Xsvd$u))
  else if (!any(Positive)) 
    array(0, dim(X)[2L:1L])
  else Xsvd$v[, Positive, drop = FALSE] %*% ((1/Xsvd$d[Positive]) * 
                                               t(Xsvd$u[, Positive, drop = FALSE]))
}