[R] how to randomly generate a n by n positive definite matrix in R ?

[Ravi Varadhan]

Here is a simple function:

##########################################################
# Generating a random positive-definite matrix with user-specified positive
eigenvalues
# If eigenvalues are not specified, they are generated from a uniform
distribution
Posdef <- function (n, ev = runif(n, 0, 10)) 
{
Z <- matrix(ncol=n, rnorm(n^2))
decomp <- qr(Z)
Q <- qr.Q(decomp) 
R <- qr.R(decomp)
d <- diag(R)
ph <- d / abs(d)
O <- Q %*% diag(ph)
Z <- t(O) %*% diag(ev) %*% O
return(Z)
}

pdmat <- Posdef(n=5, ev=1:5)
eigen(pdmat)$val

Ravi.
----------------------------------------------------------------------------
-------

Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of jinjin
Sent: Thursday, February 07, 2008 1:32 PM
To: r-help at r-project.org
Subject: [R] how to randomly generate a n by n positive definite matrix in R
?


thanks
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