How to extract the Jacobian matrix from the given equation?
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I have a matrix equation in the form:
EY = J * EX * JT,
where EY and EX are the given matrices, and JT is a transpose matrix of unknown matrix J.
Is there a way to calculate a matrix J directly (i.e., not using the Monte Carlo method)?
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Respuesta aceptada
Matt J
el 10 de Jun. de 2021
Editada: Matt J
el 10 de Jun. de 2021
If EX and EY are positive definite, one solution is simply,
J=chol(EY).'/chol(EX).'
In general, there won't be a unique solution, however. As an example, if EX=EY=I, then the equation can be solved by choosing J as any orthogonal matrix.
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