Module eigen 

Eigendecomposition of symmetric matrices by the cyclic Jacobi method — robust and accurate for the small matrices of correlation and covariance work (the PSD projection inside Higham’s nearest-correlation algorithm runs on this).

Functions

symmetric_eigen

Eigendecomposition of a symmetric matrix: returns (eigenvalues, eigenvectors) with the eigenvectors in the columns (A = V diag(vals) V^T). Order is unspecified.