Short Communication: On solving generalized eigenvalue problems using Matlab
Klaas Faber · Journal of Chemometrics · 1997
Matlab is a high-level computing environment that is rapidly gaining popularity for the execution of matrix computations. This paper discusses a major inconvenience that may arise if Matlab is used for the numerical solution of generalized eigenvalue problems. Matlab normalizes the eigenvectors to unit length (Euclidean norm). This leaves the eigenvectors fixed, up to a complex multiplier of modulus one. As a result additional programming may be necessary to eliminate spurious complex numbers. Specifically, problems recently described with respect to the eigensolution obtained by the generalized rank annihilation method are shown to be caused by Matlab's implementation of the generalized eigenvalue problem. © 1997 John Wiley & Sons, Ltd.