mhalf {tensr}

The symmetric square root of a positive definite matrix.

Description

Returns the unique symmetric positive definite square root matrix of a provided symmetric positive definite matrix.

Usage

mhalf(M)

Arguments

M

A symmetric positive definite matrix.

Value

The unique symmetric positive definite matrix X such that XX = M.

Author(s)

Peter Hoff.

Examples

Y <- matrix(stats::rnorm(4), nrow = 2)
M <- Y %*% t(Y)
X <- mhalf(M)
X
identical(M, X %*% X)