How to generate a symmetric positive definite matrix?

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Riccardo Canola
Riccardo Canola 2018-10-17
评论： Andrei Bobrov 2019-10-2
I have to generate a symmetric positive definite rectangular matrix with random values.

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Elias Hasle
Elias Hasle 2019-10-2
编辑：Elias Hasle 2019-10-2
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 2018-10-17
编辑：madhan ravi 2018-10-17
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Bruno Luong
Bruno Luong 2019-10-2
编辑：Bruno Luong 2019-10-2
Andrei your solution does not produce necessary sdp matrix (which does not meant the matrix elements are positive)

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