public static object SVD(double[,] Data)
{
DenseMatrix data = new DenseMatrix(Data);
int nRows = data.RowCount, nCols = data.ColumnCount;
MathNet.Numerics.LinearAlgebra.Double.Factorization.Svd svd = data.Svd(true);
Matrix <double> u = svd.U(); // m x m
Matrix <double> w = svd.W(); // m x n, diagonal
Matrix <double> vt = svd.VT(); // n x n, transpose
object[,] ret = new object[Math.Max(nRows, nCols), nRows + 1 + nCols + 1 + nCols];
for (int i = 0; i < ret.GetLength(0); ++i)
{
for (int j = 0; j < ret.GetLength(1); ++j)
{
ret[i, j] = "";
}
}
for (int i = 0; i < nRows; ++i)
{
for (int j = 0; j < nRows; ++j)
{
ret[i, j] = u[i, j];
}
}
for (int i = 0; i < nRows; ++i)
{
for (int j = 0; j < nCols; ++j)
{
ret[i, nRows + 1 + j] = w[i, j];
}
}
for (int i = 0; i < nCols; ++i)
{
for (int j = 0; j < nCols; ++j)
{
ret[i, nRows + 1 + nCols + 1 + j] = vt[j, i]; // Re-transpose, so that they're in the expected format.
}
}
return(ret);
}