Is there any function to calculate Generalized inverse of a matrix using GSL?
Like in R, we have ginv(X, tol = sqrt(.Machine$double.eps)).
Generalized Inverse function in GSL
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No. It seems as if there is no routine to directly calculate the pseudo-inverse of a matrix (although here you can find a discussion on how one could get it).
However, the explicit pseudo-inverse itself is seldom required. Instead, gsl provides the routine
see the documentation here.
It solves the linear system
A x = b, which is equivalent to applying the pseudo-inverseA^+ontoband yieldsx = A^+ b.Before application, the SVD must be found via the routine
gsl_linalg_SV_decomp. The tolerance factortolyou mentioned can be incorporated by looping over the singular valuesSand setting those smaller thantolto zero.(Further, here is a personal suggestion: drop the gsl and switch to Eigen, armadillo, or comparable modern libraries)