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Efficient V'*S*V matrix multiplication?

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Henry Wolkowicz
Henry Wolkowicz on 18 Jun 2020
Edited: James Tursa on 18 Jun 2020
I have a matrix V with orthonormal columns, order n x k, and a symmetric, indefinite, matrix Z. Is there a lapack or blas routing to efficiently do the multiplication
V'*Z*V
If I do this in matlab, the result is NOT a symmetric matrix and has to be symmetrized and the result has roundoff of order 1e-13 for n approx 1,000
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James Tursa
James Tursa on 18 Jun 2020
Edited: James Tursa on 18 Jun 2020
Do you have a C/C++ compiler installed where a mex routine could get at the BLAS symmetric matrix multiply routines directly? Are your matrices real or complex?

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