R: Square root of a symmetric, positive semi-definite matrix
sqrtmatrix
R Documentation
Square root of a symmetric, positive semi-definite matrix
Description
Calculation of the square root of a positive semi-definite matrix (see Details for the definition of such a matrix).
Usage
sqrtmatrix(mat)
Arguments
mat
numeric matrix.
Details
The matrix mat must be symmetric and positive semi-definite. Otherwise, there is an error.
The square root of the matrix mat is the positive semi-definite matrix M such as t(M) %*% M = mat.
Do not confuse with sqrt(mat), which returns the square root of the elements of mat.
The computation is based on the diagonalisation of mat. The eigenvalues smaller than 10^-16 are identified as null values.
Value
Matrix: the square root of the matrix mat.
Author(s)
Rachid Boumaza, Pierre Santagostini, Smail Yousfi, Sabine Demotes-Mainard.
Examples
M2 = matrix(c(5, 4, 4, 5), nrow = 2)
M = sqrtmatrix(M2)
M