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Peter
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How to approx. decompose a sym. p.d. matrix M into X'X?

M: pxp symmetric p.d. matrix with unit diagonals n: number much smaller than p

Want a nonrandom nxp matrix X such that X'X is close to M element-wise. If n gets larger, hopefully difference gets smaller.

Any input is appreciated. Thanks a lot!

Peter
  • 21
  • 4