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square root of positive definite matrix
Suppose $M$ is a positive definite Hermitian matrix. Then $M$ has a diagonalization $$ M= P^* \operatorname{diag}(\lambda_1, \ldots, \lambda_n) P $$ where $P$ is a unitary matrix and $\lambda_1, \ldots, \lambda_n$ are the eigenvalues of $M$ , which are all positive.
We can now define the square root of $M$ as the matrix $$ M^{1/2}= P^* \operatorname{diag}(\sqrt{\lambda_1}, \ldots, \sqrt{\lambda_n}) P. $$ The following properties are clear
- $M^{1/2} M^{1/2}=M$ ,
- $M^{1/2}$ is Hermitian and positive definite.
- $M^{1/2}$ and $M$ commute
- $(M^{1/2})^T=(M^T)^{1/2}$ .
- $(M^{1/2})^{-1}=(M^{-1})^{1/2}$ , so one can write $M^{-1/2}$
- If the eigenvalues of $M$ are $(\lambda_1, \ldots, \lambda_n)$ , then the eigenvalues of $M^{1/2}$ are $(\sqrt{\lambda_1}, \ldots, \sqrt{\lambda_n})$ .
square root of positive definite matrix is owned by Raymond Puzio, matte, Thomas Foregger, Andrea Ambrosio.
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