What is the most effective way to solve generalized eigenvalues problem?
We looking for v, D for symmetric matrix A, and non-symmetric matrix B, such that
A * v = B * v * D
Our current approach is:
C = B.Inverse() * A;
E = C.Evd();
Is there a way to compute it faster? All matrices are of type Matrix, i.e. dense matrices.
Thanks
Pavel