gen_rand_spd

A simple function to generate a random symmetric positive definite matrix with a specified condition number in Matlab.

Based on the specified condition number, a set of eigenvalues is generated. Then, an orthonormal eigenvector matrix U is generated using the RandOrthMat FEX function by Ofek Shilon, and the result is given by SPD=UDU'. (The distribution of the matrices U is uniform over the manifold O(n) w.r.t. the induced R^(n^2) Lebesgue measure.)

This script has been developed while I was at the University of Lübeck, with the Institute for Electrical Engineering in Medicine.