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sqroot

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)

See also

chol, svd
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