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2007 Jun 29
2
Spectral Decomposition
All of my resources for numerical analysis show that the spectral
decomposition is
A = CBC'
Where C are the eigenvectors and B is a diagonal matrix of eigen values.
Now, using the eigen function in R
# Original matrix
aa <- matrix(c(1,-1,-1,1), ncol=2)
ss <- eigen(aa)
# This results yields back the original matrix according to the formula
above
ss$vectors %*% diag(ss$values) %*%