https://github.com/cran/fields
Tip revision: beb6c9118b4f355fc630943f00274a7df8714fe1 authored by Doug Nychka on 26 April 2007, 00:00:00 UTC
version 3.5
version 3.5
Tip revision: beb6c91
fields.diagonalize.R
"fields.diagonalize" <-
function(A,B){
eigen( A,symmetric=TRUE)-> hold
# square root of A
hold2 <- (t(hold$vectors) * sqrt( 1/hold$values))
#
# note: interated transposes are a quick way to post multiply by a
# diagonal matrix
#
#
# A.inv.sqrt = hold2
# A.inv = hold%*% t(hold2)
#
# eigen decomp of A.inv.sqrt B t( A.inv.sqrt)
#
eigen( (hold2)%*%B%*%t(hold2) ,symmetric=TRUE)-> hold
# the magic G matrix used throughout fields.
G<- t(hold2)%*%hold$vectors
#
# Note:
# G simultaneously diagonalizes two matrices:
#
# G^T A G= I
# G^T B G= D
#
# and in terms of application we also have the useful
# diagonalization
#
# (A +lambda B)^{-1} = G( I + lambda D)^{-1} G^T
list( G=G, D=hold$values)
}