問題描述
生成尺寸為 8x8 的正定矩陣 (Generating Positive definite matrix of dimensions 8x8)
I am trying to generate a positive definite matrix (A'*A) of dimensions 8x8. where A is 1x8.
I tried it for many randomly generated matrix A but not able to generate it.
octave‑3.6.1.exe:166> A= (rand(1,8)+rand(1,8)*1i);
octave‑3.6.1.exe:167> chol(A'*A);
error: chol: input matrix must be positive definite
Can anyone please tell me what is going wrong here. Thanks for the help in advance.
參考解法
方法 1:
It's not possible to do that, since no matrix of that form is positive definite.
Claim: Given a 1xn (real, n>1) matrix A, the symmetric matrix M = A'A is not positive definite:
Proof: By definition, M is positive definite iff x'Mx > 0 for all non zero x. That is, iff x'A'Ax = (Ax)'Ax = (Ax)^2 = (A_1 x_1 + ... + A_n x_n) > 0 for all non zero x.
Since the real values A_i are linearly dependent, there exists x_i, not all zero, such that A_1 x_1 + ... + A_n x_n = 0. We found a non zero vector x such that x'Mx = 0, so M is not positive definite.
A different proof, that can be applied directly to the complex case is this: Let A be an 1xn (complex, n>1) matrix. Positive definiteness implies invertibility, so M = A*A must have full rank to be positive definite. It clearly has rank 1, so it's not invertible and thus not positive definite.
方法 2:
Here is how I routinelly create SPD matrix
1) Create a random Symetric Matrix 2) Make sure that all the diagonal values are greater than the sum of any row or column they appear in.
Usually for (1) I use random number between 0 and 1. Its then easy to figure out a number to use for each diagonal entries.
Cheers,
(by complex22、jorgeca、user3047595)