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Solving for the matrix $W$ in an equation involving $W \cdot W^{T}$

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Problem Detail: 

Having large matrices, $W$ (the unknown) and $M$ (known), is it possible to solve for $W$ in this equation $$W \cdot W^{T} = M,$$ where $M$ can have negative entries.

Asked By : Curious
Answered By : collapsar

You might be looking for the Cholesky decomposition. The referenced article also contains an example for $M$ having negative entries. Note the constraints on $M$ for this decomposition to exist.

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Question Source : http://cs.stackexchange.com/questions/22301

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