How to generate random positive semi-definite matrix with ones at the diagonal positions?

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Mr M. 2015-5-26

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回答： Abhiram Bhanuprakash 2015-5-26

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I can create random positive semi-definite matrix, but how to force the ones at the diagonal positions? I need a random correlation matrix.

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Mr M. 2015-5-26

Here is a function: http://www.mathworks.com/matlabcentral/fileexchange/37804-generating-correlation-matrices-based-on-the-boundaries-of-their-coefficients/content/RandomCorr.m

But I don't know the meaning of K and p !?

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Abhiram Bhanuprakash 2015-5-26

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Hi Mr. M,

I went through the code in the File Exchange submission 'RandomCorr.m' which you mentioned.

I could see that, in line 62 of that code,

p=min(eig(C));

So I guess this is to check whether the minimum eigen value of the correlation matrix is >= 0 (in other words, to check if the correlation matrix 'C' is PSD or not)

But, I am not sure about the variable 'K'. Perhaps if you refer to the paper or contact the author of the File Exchange submission himself, you would get a better answer.

See a related post here

Hope this helps,

Cheers!

Abhiram

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