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Quadratic Optimization for Simultaneous Matrix Diagonalization (QDIAG)

On this page you can find a MATLAB implementation of the QDIAG algorithm for simultaneous matrix diagonalization. The following two files you may download, use, redistribute, and/or modify under the terms of the GNU General Public License.

qdiag.m - Simultaneous matrix diagonalization routine
corrmat.m - Computation of time-lagged correlation matrices

How to use these files is described here.

If you use this software for publication, please cite:

Vollgraf, R. and Obermayer, K. (2006). Quadratic Optimization for Simultaneous Matrix Diagonalization. IEEE Trans. Signal Processing Applications, 54, 3270 – 3278.

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