Generalized orthogonalization

Orthonormal basis of a set vectors with respect to a non-euclidian scalar product

Description

Input:
  A: (m x n) matrix
  B: (m x m) matrix, symmetric positive-definite
Output:
  Q : (m x k), where k is the rank of A
  span<Q> = span<A> the columns of Q span the same space as the
  columns of A, and the number of columns of Q is the rank of A.
  Q satisfies: Q'*B*Q = I,

• MATLAB release: MATLAB 7.8 (R2009a)
• Other requirements: Should work on most Matlab release

[Andrew Knyazev]

My http://www.mathworks.com/matlabcentral/fileexchange/51-ortha-m does the same. However, mine supports B sparse or even given only as a function performing the product B*X.

[Darren Rowland]

Efficiently and concisely coded. Excellent