geigen.Rd
\name{geigen}
\alias{geigen}
\title{
Generalized eigenanalysis
}
\description{
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.
}
\usage{
geigen(Amat, Bmat, Cmat)
}
\arguments{
\item{Amat}{ a numeric matrix }
\item{Bmat}{
a symmetric, positive definite matrix with dimension = number of
rows of A
}
\item{Cmat}{
a symmetric, positive definite matrix with dimension = number of
columns of A
}
}
\value{
list(values, Lmat, Mmat)
}
%\details{}
%\source{}
\seealso{
\code{\link{eigen}}
}
\examples{
A <- matrix(1:6, 2)
B <- matrix(c(2, 1, 1, 2), 2)
C <- diag(1:3)
ABC <- geigen(A, B, C)
}
% docclass is function
\keyword{array}