How to generate a symmetric positive definite matrix?
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Riccardo Canola
on 17 Oct 2018
Commented: Andrei Bobrov
on 2 Oct 2019
I have to generate a symmetric positive definite rectangular matrix with random values.
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Elias Hasle
on 2 Oct 2019
Edited: Elias Hasle
on 2 Oct 2019
What are the requirements to the distributions of the resulting random variables?
I think a crucial insight is that multiplying a matrix with its transpose will give a symmetrical square matrix.
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madhan ravi
on 17 Oct 2018
Edited: madhan ravi
on 17 Oct 2018
4 Comments
Bruno Luong
on 2 Oct 2019
Edited: Bruno Luong
on 2 Oct 2019
Andrei your solution does not produce necessary sdp matrix (which does not meant the matrix elements are positive)
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