[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
## Re: Generalized eigenvalue problem

**From**: |
Dirk Laurie |

**Subject**: |
Re: Generalized eigenvalue problem |

**Date**: |
Fri, 19 Jun 1998 12:18:53 +0200 (SAT) |

Thomas Hoffmann wrote:
>* *
>* Does anybody of you know a way to solve a generalized eigenvalue problem with*
>* Octave?*
>* *
>* It is, e.g. , of the form M A = k N A,*
>* *
>* M and N are known and I want to compute the eigenvalues k and the*
>* eigenvectors A.*
>* *
That equation holds when k is a scalar and A is a vector.
The matrix equation is M A = N A K where A is a matrix and K is
a diagonal matrix.
If N is non-singular, then
[A,K]=eig(N\A)
does what you want.
If N is singular, then the original problem may be ill-behaved in
various ways.
It is true that there are sophisticated algorithms that deliver
better efficiency and accuracy than the one-liner above; in particular,
if A and N are symmetric and N is positive definite. They are not as
far as I know available in Octave. You can look for Fortran sources
under the name 'QZ algorithm".
Dirk