Intel® oneAPI Math Kernel Library
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test for positive definite

jft27
Beginner
‎02-28-2007 06:44 AM
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Hi,
I have some code where I am generating matrices using a MCMC method. I require that all my matrices are positive definite so I want to be able to test this and if they fail to reject that sample.
So I'm looking for the quickest way to test small matrices to see if they're positive definite.
Does anyone have a recommendation?
Jeremy
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Dmitry_B_Intel
Employee
‎02-28-2007 08:56 AM
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Jeremy,

I'd suggest you to try if Cholesky factorization succeed (see dpotrf function and friends in MKL).

Dima

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