How to generate a symmetric positive definite matrix?
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Riccardo Canola
le 17 Oct 2018
Commenté : Andrei Bobrov
le 2 Oct 2019
I have to generate a symmetric positive definite rectangular matrix with random values.
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Elias Hasle
le 2 Oct 2019
Modifié(e) : Elias Hasle
le 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
le 17 Oct 2018
Modifié(e) : madhan ravi
le 17 Oct 2018
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Bruno Luong
le 2 Oct 2019
Modifié(e) : Bruno Luong
le 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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