R: Generalized eigenanalysis

geigen {fda} | R Documentation

## 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

    A <- matrix(1:6, 2)
    B <- matrix(c(2, 1, 1, 2), 2)
    C <- diag(1:3)
    ABC <- geigen(A, B, C)

[Package fda version 2.4.8 Index]