sqrt_psd_matrix: 'sqrt_psd_matrix': square root of a positive semi-definite...

In derekbeaton/GSVD: The generalized singular value decomposition

Description

sqrt_psd_matrix takes a square, positive semi-definite matrix and returns the square root of that matrix (via the eigenvalue decomposition by way of tolerance_eigen).

Usage

sqrt_psd_matrix(x)

Arguments

x	A square matrix (presumably positive semi-definite)

Details

Note that sqrt_psd_matrix uses tolerance_eigen(...,tol=1e-13) with the tolerance fixed at 1e-13. This enforces an "acceptably zero" value for eigenvalues, and also stops the computation if any eigenvalues are not zero or positive (within the tolerance parameter). If the computation is halted, that means the matrix was not positive semi-definite.

Value

A matrix. The square root of the x matrix

See Also

tolerance_eigen

derekbeaton/GSVD documentation built on Jan. 2, 2021, 9:21 p.m.