Riccati Root — riccati

Compute the square root of a symmetric matrix.

riccati_root(x)

Arguments

x: squared and symmetric matrix.

Examples

cv <- matrix(c(1, 0.3, 0.3, 1), nrow = 2, byrow = TRUE)
riccati_root(cv)
#>           [,1]      [,2]
#> [1,] 0.9884177 0.1517577
#> [2,] 0.1517577 0.9884177