[SciPy-user] How to generate random positive definite matrix
Bill Baxter
wbaxter@gmail....
Sun Jun 10 23:20:05 CDT 2007
Maybe you can make creative use of the gershgorin circle theorem.
http://en.wikipedia.org/wiki/Gershgorin_circle_theorem. I know it can
be used to make a sufficient condition test for positive definiteness.
--bb
On 6/11/07, David Cournapeau <david@ar.media.kyoto-u.ac.jp> 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").
>
> cheers,
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