Let
be a Matrix of Eigenvectors of a given Matrix
and
a
Matrix of the corresponding Eigenvalues. Then
can be written
(1) |
(2) |
(3) |
See also Singular Value Decomposition
References
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T. ``Singular Value Decomposition.'' §2.6 in
Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England:
Cambridge University Press, pp. 51-63, 1992.