Monday, 16 July 2018

svd - How to find the Takagi decomposition of a symmetric (unitary) matrix?

The Takagi decomposition is a special case of the singular value decomposition for symmetric matrices. More exactly:





Let $U$ be a symmetric matrix, then Takagi tells us there is a unitary
$V$ such that $U = VDV^T$ (with $D>0$ diagonal).




My question is basically: how to construct this $V$? Preferably I am looking for the `easiest'/most straight-forward way (which probably won't be the most efficient way!)



Note: For the case I am interested in, $U$ is in fact unitary (in which case Takagi gives $U = VV^T$). I'm happy to specialize to that special case if that makes the algorithm easier.

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