How to generate a symmetric positive definite matrix?

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Riccardo Canola
Riccardo Canola el 17 de Oct. de 2018
Comentada: Andrei Bobrov el 2 de Oct. de 2019
I have to generate a symmetric positive definite rectangular matrix with random values.

Respuesta aceptada

Elias Hasle
Elias Hasle el 2 de Oct. de 2019
Editada: Elias Hasle el 2 de Oct. de 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
madhan ravi el 17 de Oct. de 2018
Editada: madhan ravi el 17 de Oct. de 2018
  4 comentarios
Bruno Luong
Bruno Luong el 2 de Oct. de 2019
Editada: Bruno Luong el 2 de Oct. de 2019
Andrei your solution does not produce necessary sdp matrix (which does not meant the matrix elements are positive)
Andrei Bobrov
Andrei Bobrov el 2 de Oct. de 2019
I agree with you, Bruno.

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