C# Class MathNet.Numerics.LinearAlgebra.Double.ExtensionMethods

Moore–Penrose pseudoinverse If A = U • Σ • VT is the singular value decomposition of A, then A† = V • Σ† • UT. For a diagonal matrix such as Σ, we get the pseudoinverse by taking the reciprocal of each non-zero element on the diagonal, leaving the zeros in place, and transposing the resulting matrix. In numerical computation, only elements larger than some small tolerance are taken to be nonzero, and the others are replaced by zeros. For example, in the MATLAB or NumPy function pinv, the tolerance is taken to be t = ε • max(m,n) • max(Σ), where ε is the machine epsilon. (Wikipedia)