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gokhansolak / mp_psuedo_inv.cpp
Last active November 23, 2021 19:16 — forked from pshriwise/mp_psuedo_inv.cpp
Moore-Penrose Pseudo-Inverse Using Eigen, works for non-square matrix
// method for calculating the pseudo-Inverse as recommended by Eigen developers
template<typename _Matrix_Type_>
_Matrix_Type_ pseudoInverse(const _Matrix_Type_ &a, double epsilon = std::numeric_limits<double>::epsilon())
{
Eigen::JacobiSVD< _Matrix_Type_ > svd(a ,Eigen::ComputeThinU | Eigen::ComputeThinV);
double tolerance = epsilon * std::max(a.cols(), a.rows()) *svd.singularValues().array().abs()(0);
return svd.matrixV() * (svd.singularValues().array().abs() > tolerance).select(svd.singularValues().array().inverse(), 0).matrix().asDiagonal() * svd.matrixU().adjoint();
}