A generalized eigenvalue problem is the problem of finding a vector v
that obeys A * v = λ * B * v
where A
and B
are matrices. If v
obeys this equation, with some λ
, then we call v
the generalized eigenvector of A
and B
, and λ
is called the generalized eigenvalue of A
and B
which corresponds to the generalized eigenvector v
. The possible values of λ
, must obey the identity det(A - λ*B) = 0
.
Part of this code has been adapted from the original EISPACK routines in Fortran.
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