riecovest.matrix_operations.matrix_sqrt

riecovest.matrix_operations.matrix_sqrt(A)

Computes the square root of a positive definite matrix A.

Clips eigenvalues below 1e-12 to avoid numerical instability.

Parameters:

A (ndarray of shape (M, M)) – Positive definite matrix

Returns:

sqrt_A – The square root of A. Such that sqrt_A @ sqrt_A = A

Return type:

ndarray of shape (M, M)