Computing Generalized Eigenvalues using GUPTRI

This post shows how to call the GUPTRI algorithm from C. The GUPTRI algorithm solves the generalized eigenvalue problem $A x = \lambda B x$. The algorithm can properly handle the cases when $A$, $B$, or both matrices are singular. Bibliography. Demmel, James and Kagstrom, Bo: “ The Generalized Schur Decomposition of an Arbitrary Pencil $A – \lambda B$: Robust Software with Error Bounds and…