fda (version 2.4.8)

geigen: 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

Amat

a numeric matrix

Bmat

a symmetric, positive definite matrix with dimension = number of rows of A

Cmat

a symmetric, positive definite matrix with dimension = number of columns of A

Value

list(values, Lmat, Mmat)

See Also

eigen

Examples

# NOT RUN {
A <- matrix(1:6, 2)
B <- matrix(c(2, 1, 1, 2), 2)
C <- diag(1:3)
ABC <- geigen(A, B, C)
# }

Run the code above in your browser using DataCamp Workspace