how can i force a matrix to be positive sime-definite matrix?

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arkedia
arkedia 2013-2-12
i'm creating a gibbs sampling algorithm and i one of thge steps an error appears in using mvnrnd function , sigma must be positive semi definite matrix what can i do?

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回答（2 个）

Jan
Jan 2013-2-12
编辑：Jan 2013-2-12
Please read http://en.wikipedia.org/wiki/Positive-semidefinite_matrix#Negative-definite.2C_semidefinite_and_indefinite_matrices
Perhaps it helps to know, that A*A is positive semi-definite for any matrix A. But it is not clear how your data should be changed to match the requirements. Please post more details.
Youssef Khmou
Youssef Khmou 2013-2-12
hi, arkedia,
like Jan said you can take mvnrnd(A*A) if A is square or A*conj(A') otherwise and A*A~SIGMA , but if A is an array of data then A*A will create covariance of SIGMA matrix itself which will mess your calculations,
Try to alter your code using abs(SIGMA) instead of sigma .

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