I want to use matlab coder, but chol is not implemented in C yet
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Does anyone have a "by hand" version of [V,D] = eig(A) or [V] = eig(A) that works like [V,D] = eig(A,B,'chol') does in matlab? I did my own scaling to make everything scale to 1, but 'qz' just isn't cutting it. Performance does not matter here, as this isn't called repeatedly, just its results.
I found a by hand implementation of chol. But it doesn't seem to produce the same answers for a 3x3 matrix as matlab's chol does, it seems to work for 4x4 though. Even if it did, I need the eigenvectors (and eigenvalues) for it using chol.
For instance the positive definitive value:
= 1.7321 0.5774 0
0 1.6330 0.6124
0 0 1.6202
= 1.7321 0 0
0 1.7321 0
0 0 1.7321