Generalised Eigenvalue Problem

[atrad]

Hi.

I'd like to solve a generalised eigenvalue problem and get both eigenvalues and eigenvectors. Is it possible to do this in a straightforward manner in RATS6.1 or do I have to upgrade to RATS6.35 (I understand RATS 6.35 has a general option in the eigen instruction).

Many thanks

[TomDoan]

If you're trying to solve |A-lambda B|=0 for lambda (where A and B are symmetric), you can solve transform this to a standard eigenvalue problem by taking any matrix S (such as the Choleski decomposition) that satisfies SS'=B and finding the eigenvalues of S**-1 x A x S**-1'.

eigen inv(s)*a*tr(inv(s)) eigval eigvect
compute evect=tr(inv(s))*eigvect

[atrad]

Thanks for your quick reply - I have also come across this solution method. Thanks also for the code you put out on PCA in the frequency domain.