sqroot

Arguments

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 — Cholesky factorization
• svd — singular value decomposition