[R] Efficient testing for +ve definiteness

From: Makram Talih <talih_at_xena.hunter.cuny.edu>
Date: Thu 14 Jul 2005 - 05:27:19 EST

Dear R-users,

Is there a preferred method for testing whether a real symmetric matrix is positive definite? [modulo machine rounding errors.]

The obvious way of computing eigenvalues via "E <- eigen(A, symmetric=T, only.values=T)$values" and returning the result of "!any(E <= 0)" seems less efficient than going through the LU decomposition invoked in "determinant.matrix(A)" and checking the sign and (log) modulus of the determinant.

I suppose this has to do with the underlying C routines. Any thoughts or anecdotes?

Many Thanks,

Makram Talih

Makram Talih, Ph.D.
Assistant Professor
Department of Mathematics and Statistics
Hunter College of the City University of New York
695 Park Avenue, Room 905 HE
New York, NY 10021

Website: http://stat.hunter.cuny.edu/talih
E-mail: makram.talih@hunter.cuny.edu
Tel: 212-772-5308
Fax: 212-772-4858

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Received on Thu Jul 14 05:47:20 2005

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