Square root of a squared block matrix

1. Feb 7, 2013

GoodSpirit

Hi everybody,

I’m trying to compute the square root of the following squared block matrix:

$$M=\begin{bmatrix} A &B\\ C &D\\ \end{bmatrix}$$

(that is M^(1/2))as function of A,B,C, D wich are all square matrices.

Can you help me?

I sincerely thank you! :)

All the best

GoodSpirit

2. Feb 7, 2013

tiny-tim

Hi GoodSpirit!

Have you tried transforming it into the form
$$M=\begin{bmatrix} P &0\\ 0 &Q\\ \end{bmatrix}$$

3. Feb 9, 2013

GoodSpirit

Hi tiny-tim,

That´s an interesting idea but how do you do that...?
It is not easy...
I must say that there is more...
M is a typical covariance matrix so it is symmetric and semi-positive definite.

A and D are symmetric and positive semi-definite (covariance matrices too) and $$B=C^T$$ and B is the cross covariance matrix of A and D.

My attempt is based on eigendecomposition
$$M=Q \Lambda Q^T$$
and
$$M=\begin{bmatrix} a & b \\ c & d \\ \end{bmatrix} \begin{bmatrix} a & b \\ c & d \\ \end{bmatrix}$$

But it lead to something very complicated.