error message in using mvnrnd function??

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arkedia
arkedia 2013-2-12
i'm craeting a gibbs sampling algorithm and the fdollowing message appears when i'v used mvnrnd function :
??? Error using ==> mvnrnd SIGMA must be a symmetric positive semi-definite matrix.
note i'v used chol function befor using mvnrnd
nu02=chol(nu01); nu0=s*nu02; z = mvnrnd(mu0,nu0)'; what can i do to solve the problem?
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the cyclist
the cyclist 2013-2-12
It's pretty hard to say anything here without more details. Do you have a very small example of nu01 and s that you can provide, that exhibits the error?

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Tom Lane
Tom Lane 2013-2-12
Using chol is a good idea, but chol does not actually check that the matrix is symmetric:
>> a = [2 1;1 3]
a =
2 1
1 3
>> chol(a)
ans =
1.4142 0.7071
0 1.5811
>> a(2,1) = 0;
>> chol(a)
ans =
1.4142 0.7071
0 1.5811|
You might want to look at nu01-nu01' to see if the matrix is not symmetric. If the lack of symmetry is just the result of roundoff error, consider
nu01 = (nu01 + nu01') / 2;

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