Geodesic
Decomposition of an updated correlation matrix via hyperbolic transformations
Applications of Mathematics, Tome 47 (2002) no. 2, pp. 101-113

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An algorithm for hyperbolic singular value decomposition of a given complex matrix based on hyperbolic Householder and Givens transformation matrices is described in detail. The main application of this algorithm is the decomposition of an updated correlation matrix.
DOI : 10.1023/A:1021729017319
Classification : 65F25, 65F30
Keywords: eigensystem of a correlation matrix; hyperbolic transformations; hyperbolic Householder transformation; hyperbolic Givens transformation; hyperbolic singular value decomposition 
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     title = {Decomposition of an updated correlation matrix via hyperbolic transformations},
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Janovská, Drahoslava. Decomposition of an updated correlation matrix via hyperbolic transformations. Applications of Mathematics, Tome 47 (2002) no. 2, pp. 101-113. doi: 10.1023/A:1021729017319

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