Learn R Programming

BMhyb (version 1.5.2)

GenerateRandomPositiveDefiniteMatrix: Generate positive definite matrix

Description

Generate postive definite matrix using QR decomposition

Usage

GenerateRandomPositiveDefiniteMatrix(n, ev = runif(n, 0, 10))

Arguments

n

size of matrix

ev

positive number

Value

A positive definite matrix

Details

Use QR decomposition to generate positive definite matrix. See reference.

References

Ravi Varadhan, http://r.789695.n4.nabble.com/how-to-randomly-generate-a-n-by-n-positive-definite-matrix-in-R-td846858.html