Name
sqroot — W*W' hermitian factorization
Calling Sequence
sqroot(X)
Parameters
- X
symmetric non negative definite real or complex matrix
Description
returns W such that X=W*W' (uses SVD).
Examples
X=rand(5,2)*rand(2,5);X=X*X';
W=sqroot(X)
norm(W*W'-X,1)
//
X=rand(5,2)+%i*rand(5,2);X=X*X';
W=sqroot(X)
norm(W*W'-X,1)