I need to find a transformation matrix of the metric tensor but I don't know how to solve for X from

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    $\begingroup$ Try DiscreteRiccatiSolve $\endgroup$ – bill s Jan 12 at 15:33
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    $\begingroup$ Just noting that * does not denote matrix multiplication in Mathematica. . does. $\endgroup$ – Szabolcs Jan 12 at 15:34
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    $\begingroup$ @bills How would you use DiscreteRiccatiSolve to solve for X? I'm not familiar with control-systems lingo, but it doesn't seem possible. There's no $x^\dagger$ in the Riccati equation. The closest thing is $(r+b^\dagger.x.b)^{-1}$. $\endgroup$ – Michael E2 Jan 12 at 16:41
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    $\begingroup$ Please post a specific example with the explicit A and B matrices. $\endgroup$ – Daniel Lichtblau Jan 12 at 16:51
  • $\begingroup$ There may not be a general solution unless A and B satisfy some further conditions. $\endgroup$ – Roman Jan 12 at 18:56

It may be possible using RiccatiSolve which can solve an equation of the form

$$a^{T }.x+x.a-x.b.r^{-1}.b^{T }.x+q=0$$

If we assume $x=x^T$ and then choose values $a=0$, $b=I$, $r=A^{-1}$, and $q=B$, the above equation becomes

$$0^{T }.x+x.0-x^T.I.(A^{-1})^{-1}.I^{T }.x+B=0$$

$$ x^T.A.x=B$$

The assumption $x=x^T$ specifies conditions that the matrices $A$ and $B$ must satisfy. You can see them in the details section of RiccatiSolve.

Here is a small concocted example.

q = IdentityMatrix[2];
r = {{5, 1}, {1, 5}};
x = RiccatiSolve[{ConstantArray[0, {2, 2}], IdentityMatrix[2]}, {q, r}]

{{1/2 (2 + Sqrt[6]), 1/2 (-2 + Sqrt[6])}, {1/2 (-2 + Sqrt[6]), 1/2 (2 + Sqrt[6])}}

With[{A = Inverse[r], B = q}, Transpose[x].A.x - B] // Simplify

{{0, 0}, {0, 0}}

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