[R] Unexpected failure of Cholesky docomposition

[William Dunlap]

Aren't singular values always positive or zero?  Look at eigen(B)$values to
check for positive definiteness.

Fix your example - your B is not symmetric.

Bill Dunlap
TIBCO Software
wdunlap tibco.com

On Tue, Nov 13, 2018 at 7:30 AM, Hoffman, Gabriel <gabriel.hoffman using mssm.edu>
wrote:

> My understanding is that a Cholesky decomposition should work on any
> square, positive definite matrix.  I am encountering an issue where chol()
> fails and give the error: "the leading minor of order 3 is not positive
> definite"
>
> This occurs on multiple machines and version of R.
>
> Here is a minimal reproducible example:
>
> # initialize matrix
> values = c(1,0.725,0,0,0.725,1,0.692,0,0,0.692,1,0.644,0,0,0.664,1)
> B = matrix(values, 4,4)
>
> # show that singular values are positive
> svd(B)$d
>
> # show that matrix is symmetric
> isSymmetric(B)
>
> # B is symmetric positive definite, but Cholesky still fails
> chol(B)
>
> Is this a numerical stability issue?  How can I predict which matrices
> will fail?
>
> - Gabriel
>
>
>
>
>
>
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>
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