Positive-Definite Matrix Classes
Standard classes of positive-definite matrices (
structures available in the
- Available standard classes:
pdSymm general positive-definite matrix, with no additional structure pdDiag diagonal pdIdent multiple of an identity pdCompSymm compound symmetry structure (constant diagonal and constant off-diagonal elements) pdBlocked block-diagonal matrix, with diagonal blocks of any "atomic"
pdNatural general positive-definite matrix in natural parametrization (i.e. parametrized in terms of standard deviations and correlations). The underlying coefficients are not unrestricted, so this class should NOT be used for optimization.
Users may define their own
pdMat classes by specifying a
constructor function and, at a minimum, methods for the
examples of these functions, see the methods for classes