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Mark L. Stone
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In general, $U_s$ is not recoverable from $H$ and $U_A$.

Consider the following example in which 2 different $R$'s, $R1$ and $R2$, have different $U_s$'s while having the same $U_A$.

MATLAB output:

>> disp(H)
     1     0     0
     0     2     0
>> disp(R1)
     2     1     1
     1     2     1
     1     1     2
>> [U_s_R1,lambda_R1]=eig(R1)
U_s_R1 =
   0.408248290463863   0.707106781186547   0.577350269189626
   0.408248290463863  -0.707106781186547   0.577350269189625
  -0.816496580927726                   0   0.577350269189626
lambda_R1 =
   0.999999999999999                   0                   0
                   0   1.000000000000000                   0
                   0                   0   3.999999999999999
>> disp(R2)
   9.999999999999929   4.999999999999965   0.984522053823275
   4.999999999999965   9.999999999999929   0.984522053823275
   0.984522053823275   0.984522053823275   9.999999999999929
>> [U_s_R2,lambda_R2]=eig(R2)
U_s_R2 =
   0.707106781186548   0.177730756491407   0.684406150028616
  -0.707106781186547   0.177730756491407   0.684406150028616
                   0  -0.967896459542024   0.251349246280978
lambda_R2 =
   4.999999999999966                   0                   0
                   0   9.638432711095330                   0
                   0                   0  15.361567288904492
>> [U_A_R1,lambda_A_R1]=eig(H*R1*H')
U_A_R1 =
  -0.957092026489053   0.289784148688430
   0.289784148688430   0.957092026489053
lambda_A_R1 =
   1.394448724536011                   0
                   0   8.605551275463990
>> [U_A_R2,lambda_A_R2]=eig(H*R2*H')
U_A_R2 =
  -0.957092026489053   0.289784148688430
   0.289784148688430   0.957092026489053
lambda_A_R2 =
   6.972243622680004                   0
                   0  43.027756377319641

As can be seen, U_A_R1 = U_A_R2, but U_s_R1 shares only one column with U_s_R2, i.e., R1 has only one eigenvector in common with R2.

Mark L. Stone
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