--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/main/linear-algebra/eiggen.m	Fri Nov 30 21:58:19 2001 +0000
@@ -0,0 +1,24 @@
+function [vec,val] = eiggen(A,B)
+% function eiggen(A,B)
+% find eigenvalues and vectors of a generalized problem, i.e.
+% solve A*v=lambda*B*v for the eigenvalues lambda and eigenvectors v
+% As a consequence we have    A*vec=B*vec*diag(val)
+%
+%  val = eiggen(A,B)  returns the eigenvalues
+%  [vec,val] = eiggen(A,B)  returns eigenvectors and eigenvalues
+%
+%  A   n*n Matrix
+%  B   a symmetric positive definite n*n matrix
+%  val vector containing the n eigenvalues
+%  vec n*n matrix, the columns represent the eigenvectors
+
+% the algorithm uses the Cholesky decomposition B=R'*R and then
+% computes the eigenvalues and vectors of inv(R')*A*inv(R)
+
+R=chol(B);
+Ri=inv(R);
+[vec,val]=eig(Ri'*A*Ri);
+vec=Ri*vec;
+val=diag(val);
+if nargout<2 vec=val;endif
+endfunction