riecovest.matrix_operations.generalized_eigh

riecovest.matrix_operations.generalized_eigh(A, B)

Computes the generalized eigenvalue decomposition of a pair of positive semidefinite matrices.

Returns the same as scipy.linalg.eigh(A, B)

Parameters:

• A (ndarray of shape (M, M)) – Hermitian matrix

• B (ndarray of shape (M, M)) – Positive definite matrix

Returns:

• eigenvalues (ndarray of shape (M,)) – Eigenvalues in ascending order

• eigenvectors (ndarray of shape (M, M)) – Eigenvectors in the columns