[SciPy-Dev] matrix_sqrt for singular symmetric square matrices

[Gael Varoquaux]

On Sun, Oct 28, 2018 at 03:12:43PM +0100, Pauli Virtanen wrote:
> Right indeed if R=R' the two equations are the same. scipy.linalg.sqrtm
> computes the principal matrix square root, which then should be SDP
> too.

Indeed, it probably works for our needs. I had forgotten about this
function. Thank you.

> So for the question whether there's something to add to scipy here, I'm
> not so sure --- computation of the principal sqrtm, Cholesky, LDLt, and
> eigenvalue decomposition is there.

Me neither. The question is whether using eigh is more numerically stable
than the schur decomposition used in scipy.linalg.sqrtm. I do not know, I
must admit.

Gaël