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eigenvalueeigenvector

Finding the common eigenvectors of two matrices

I want to find the common eigenvectors of two symmetric matrices with the same dimension in R Assuming two matrices L1 and L2 I am looking for vector X such that L1*X = (landa)L2*X where landa is the eigen value

Solution

  • The term you are looking for is Generalized Eigenvalue Problem. This is a well researched linear algebra problem.

    In terms of implementation, I suggest looking at a special Netlib section, where I think your matrices will satisfy Generalized Symmetric Definite Eigenproblems solver requirements.

    Intel MKL provides the functionality directly available from C, Fortran, and, as far as I know, Python.