riecovest.matrix_operations.generalized_eigvalsh

riecovest.matrix_operations.generalized_eigvalsh(A, B)

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

This can be used if only the eigenvalues are of interest, and not the eigenvectors. Returns the same as scipy.linalg.eigvalsh(A, B)

Parameters:

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

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

Returns:

eigenvalues – Eigenvalues in ascending order

Return type:

ndarray of shape (M,)