[SciPy-user] How to generate random positive definite matrix

Dominique Orban dominique.orban@gmail....
Mon Jun 11 10:09:01 CDT 2007


David Cournapeau wrote:
> Hi there,
> 
>     I need to generate random positive definite matrix, mainly for 
> testing purpose. Before, I was generating them using a random matrix A 
> given by randn, and computing A'A. Unfortunately, if A is singular, so 
> is A'A. Is there a better way to do than testing whether A is singular ? 
> They do not need to follow a specific distribution (but I would like to 
> avoid them to follow a really special "pattern").

Strictly diagonally dominant matrices are positive definite. So you could generate a random A, 
compute AA= A'A and then increase the elements on the diagonal to make sure that

   AA[i,i] > sum( abs(AA[i,j]), j != i ),

e.g., compute the sum on the right-hand side and then add 1 to it and assign the result to AA[i,i].

More simply, you could compute A'A + alpha*I for some alpha > 0 of your choice and where I is the 
identity matrix. All eigenvalues of this matrix are >= alpha, which make it "safely" positive definite.

Dominique



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