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Eigen value and eigen vectors for spd matrix

Jun 17, 2015 at 6:56 AM
Hello Christian,
Is it possible to find all eigenvalues and all eigenvectors for a general eigenvalue problem (engaging two matrices)? both matrixes A and B are SPD and they always have very small dimension like at most 100x100. if there be a solution for finding eigenvalues and eigenvectors for pair of dense matrices that also is useful for me and will be grate...

Jun 17, 2015 at 10:31 AM
CSparse.NET won't help you compute eigenvalues and for large problems you'd usually resort to iterative methods.

Since 100x100 is rather small I suggest you do a dense Eigendecomposition. You can use the code from MathNet.

For the generalized Eigenvalue problem, you'll have to modify the system like this:
Marked as answer by epsi1on on 6/17/2015 at 4:08 AM