Get the square root of a matrix using eigenvalue decomposition, and solve for a linear system

Solve for \(x\) in the linear system \(Ax = b\), where \(A\) is a symmetric matrix square root of \(M\) with eigenvalue decomposition such that \(AA = M\).

Usage

solve_eigen_sqrt(M, b)

Arguments

M

a symmetric positive definite/semi-definite matrix

b

a numeric vector or matrix