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Hi, my question is similar to this one. I have to compute $B^TC^{−1}B$, where $C$ is a strictly positive definite $n\times n$ matrix and $B$ is $n\times m$. The matrix $C$ is huge ($n$ up to a ...

I am interested in approximating a symmetric matrix in a block diagonal form, i.e. compute just some entries of the matrix located in blocks around the diagonal. Are there any theoretical guarantees ...

Consider the generalized eigenvalue problem : $ \Sigma_{XY} \Sigma_{YX} {W} = \lambda \Sigma_{XX} {W} $ where $\Sigma_{XX} $ and $\Sigma_{XY}$ are sample covariance matrices are of the matrices $X$...