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!
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!