How to generate a symmetric positive definite matrix?
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I have to generate a symmetric positive definite rectangular matrix with random values.
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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
2018-10-17
编辑:madhan ravi
2018-10-17
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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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