The problem of joint approximate diagonalization of symmetric real matrices is addressed. It is reduced to an optimization problem with the restriction that the matrix of the similarity transformation ...

Abstract: A blind source separation algorithm by the accurate diagonalization of second-order statistics is presented for the mixed speech-noise signals. The new algorithm uses the autocorrelation ...

Repository for implementations of the Lanczos algorithm approximating hermitian matrices by a lower-dimensional tri-diagonalized one. The main implementations of the algorithm are made in lanczos.py.

Is your feature request related to a problem? Please describe. Eigendecomposition of symmetric 2x2 and 3x3 matrices (scipy.linalg.eigh) is currently performed via LAPACK's general algorithms (various ...