Computes the principal matrix logarithm of a symmetric positive-definite (SPD)
matrix. The input matrix is first regularized to ensure positive definiteness.
Usage
matrix_logm_spd(S, regularize_epsilon = 1e-06)
Arguments
- S
A numeric, symmetric matrix.
- regularize_epsilon
Epsilon for regularization. Default 1e-6.
Value
The matrix logarithm of S (a symmetric matrix).
Examples
S1 <- matrix(c(2.3, -0.3, -0.3, 3.6), 2, 2)
logS1 <- matrix_logm_spd(S1)
print(logS1)
#> [,1] [,2]
#> [1,] 0.8266331 -0.1037649
#> [2,] -0.1037649 1.2762808