Hi all,

In my experience, using eigen to solve generalized eigenvalue / eigenvector
problems only gives correct looking eigenvalues while the eigenvectors seem
to be wrong (in comparison to results from MATLAB's 'eig' function for
example).

However, I think it is possible to solve generalized eigenvalue /
eigenvectors problems in R. The way I found that works in my case is to use
the simultaneous diagonalization method which is effectively two
applications of the 'svd' function.

I have used this myself to get results effectively the same (down to 6th
decimal place for example) as those from MATLAB.

Kind regards,
Luke

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