for example
N=10;X = diag(rand(N,1));
U = orth(rand(N,N));
A = U' * X * U
A =
0.5666 -0.0315 0.0207 -0.0577 0.0054 0.0037 0.0083 -0.0172 0.1059 0.2598
-0.0315 0.5382 -0.0414 -0.1522 0.0826 0.0157 -0.1921 -0.1390 0.0022 0.0675
0.0207 -0.0414 0.6717 0.0413 -0.0835 -0.1014 -0.1238 0.1073 0.0778 0.1212
-0.0577 -0.1522 0.0413 0.6187 0.0454 -0.0132 0.0521 -0.1371 0.0206 -0.0642
0.0054 0.0826 -0.0835 0.0454 0.6076 -0.1490 -0.0443 0.0384 0.1469 0.0859
0.0037 0.0157 -0.1014 -0.0132 -0.1490 0.5962 -0.0034 0.0243 0.1871 0.0730
0.0083 -0.1921 -0.1238 0.0521 -0.0443 -0.0034 0.6267 0.0706 -0.0357 0.0184
-0.0172 -0.1390 0.1073 -0.1371 0.0384 0.0243 0.0706 0.5
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