MathOverflow Asked on November 3, 2021
Let $d times d$ matrices $A, B$ be positive definite. Is there a closed form solution for the following quadratic equation in $X$?
$$X A X^{T} = B$$
Thank you.
$B^{-1/2}XAX^TB^{-1/2}=I$, so $B^{-1/2}XA^{1/2}=Q$ must be orthogonal. On the other hand, for any orthogonal $Q$, it is simple to verify that $X = B^{1/2}QA^{-1/2}$ solves the equation, so this is a complete parametrization of the solutions.
Here $A^{1/2}$ is the symmetric square root of $A$ (if you prefer you can work with the Cholesky factor and obtain similar results).
Answered by Federico Poloni on November 3, 2021
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