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Random positive definite matrix

asked 2017-11-16 08:58:26 -0600

Deepak Sarma gravatar image

How can I get a random positive definite (or positive semi definite) matrix of given order? I know that there is a inbuilt function random_matrix with an additional feature algorithm to set with it. But there we can get some special matrices like 'echelon_form', 'orthogonal' ', 'echelonizable', 'diagonalizable'.... but positive definite command is not in built there. Some other important matrix classes are not there. So how to obtain random matrix of those classes?

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answered 2017-11-16 12:58:21 -0600

dan_fulea gravatar image

Alternatively, built in method random_matrix can be used, while explicitly declaring the (ring, size, and) random eigenvalues, and their dimensions. Here, the sample code uses a poisson distribution with parameter lambda=7 of the given size. (Feel free to fill in in an other way the diagonal.)

from scipy.stats import poisson
# my way to get some random eigenvalues involves the above...
# use an other way to generate diag, if this is too artificial 

N = 10
# we will produce an NxN positive definite random matrix with integer eigenvalues

diag = list( poisson.rvs( 7, size=N ) )
diag = [ 1+d for d in diag ]    # all entries are now > 0
evs  = list( set( diag ) )
dims = [ diag.count( ev ) for ev in evs ]

print "diag =", diag
print "evs  =", evs
print "dims =", dims

X = random_matrix( ZZ
                   , N
                   , algorithm  ='diagonalizable'
                   , eigenvalues=evs
                   , dimensions =dims )
print X

This gives this time:

diag = [9, 6, 11, 12, 3, 3, 10, 8, 10, 5]
evs  = [3, 5, 6, 8, 9, 10, 11, 12]
dims = [2, 1, 1, 1, 1, 2, 1, 1]
[  15    8    4    2   -2   -4    0   14   66  -24]
[  24   54   80  -24 -128  108   28    0 1012  384]
[  44   64   96  -20 -132  100   28   28 1152  348]
[ -28  -44  -64   25   98  -77  -21  -14 -834 -272]
[ -17  -28  -42   11   76  -52  -14   -7 -549 -186]
[   2   16   36  -14  -62   70   14  -14  452  202]
[  -2  -16  -36   14   62  -58   -4   14 -448 -206]
[  -8    8   32  -16  -60   62   14  -25  368  248]
[  -6  -12  -20    6   32  -27   -7    0 -247  -96]
[  -5   -4   -2   -1    1    2    0   -7  -33   17]
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Thank you. One more thing, what to do if I don't want my matrix to be 'diagonalizable'. I tried to remove the algorithm, but there were some errors.

Deepak Sarma gravatar imageDeepak Sarma ( 2017-11-16 23:52:45 -0600 )edit

If $A$ is a positive definite (square, symmetric, real valued) $N\times N$ matrix,

as in https://en.wikipedia.org/wiki/Positive-definite_matrix#Simultaneous_diagonalization

then it induces a Hilbert space structure on $\mathbb R^N$, seen as space of column vectors, i.e. matrices $N\times 1$, by setting: $$ \langle x,y\rangle _A = x' Ay\ . $$ A Hilbert basis exists, and can be used to diagonalize. In fact, any symmetric matrix can be diagonalized.

dan_fulea gravatar imagedan_fulea ( 2017-11-17 04:01:17 -0600 )edit

Got it. Thank you

Deepak Sarma gravatar imageDeepak Sarma ( 2017-11-17 04:55:45 -0600 )edit
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answered 2017-11-16 10:00:47 -0600

You could start from a random positive diagonal and conjugate

sage: A = diagonal_matrix(RDF, [RDF.random_element(1,5) for _ in range(5)])
sage: B = random_matrix(RDF, 5)
sage: C = B.transpose() * A * B
sage: C.is_positive_definite()
True

(The above is not a serious algorithm for integer matrices since all eigenvalues would be integral...)

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Thank you.

Deepak Sarma gravatar imageDeepak Sarma ( 2017-11-16 23:54:29 -0600 )edit

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Asked: 2017-11-16 08:58:26 -0600

Seen: 20 times

Last updated: Nov 16