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Re: Left eigenvector of generalized eigenvalue problem


On 5月28日, 午前4:14, KFUPM <hussain.alqaht... at gmail.com> wrote:
> Dear group members,
>
> I am wondering how to compute the LEFT eigenvector of the GENERALIZED
> eigenvalue problem:
>
> A x = lambda B x
>
> Thanks in anticipation for prompt reply.
>
> Regards,

cEigensystem[a_, b_] := Module[{u, lam, e1, e}, u =
CholeskyDecomposition[b];
    {lam, e} = Eigensystem[Inverse[Transpose[u]].a.Inverse[u]];
    e1 = Transpose[Inverse[u].Transpose[e]];
    {lam, Map[#/Sqrt[#.b.#] &, e1]}]



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