geigen | R Documentation |
Find matrices L and M to maximize
tr(L'AM) / sqrt(tr(L'BL) tr(M'CM'))
where A = a p x q matrix, B = p x p symmetric, positive definite matrix, B = q x q symmetric positive definite matrix, L = p x s matrix, and M = q x s matrix, where s = the number of non-zero generalized eigenvalues of A.
geigen(Amat, Bmat, Cmat)
Amat |
a numeric matrix |
Bmat |
a symmetric, positive definite matrix with dimension = number of rows of A |
Cmat |
a symmetric, positive definite matrix with dimension = number of columns of A |
list(values, Lmat, Mmat)
eigen
A <- matrix(1:6, 2)
B <- matrix(c(2, 1, 1, 2), 2)
C <- diag(1:3)
ABC <- geigen(A, B, C)
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