abriel Hoffman mailto:gabriel.hoff...@mssm.edu>>
Cc: "r-help@r-project.org<mailto:r-help@r-project.org>"
mailto:r-help@r-project.org>>
Subject: Re: [R] Unexpected failure of Cholesky docomposition
Aren't singular values always positive or zero? Look at eigen(B)$values t
Aren't singular values always positive or zero? Look at eigen(B)$values to
check for positive definiteness.
Fix your example - your B is not symmetric.
Bill Dunlap
TIBCO Software
wdunlap tibco.com
On Tue, Nov 13, 2018 at 7:30 AM, Hoffman, Gabriel
wrote:
> My understanding is that a Cholesky
Your understanding is wrong. The eigenvalues, not singular values, must be
positive, and they are not.
Bert
Bert Gunter
"The trouble with having an open mind is that people keep coming along and
sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
On
Eigen shows that the matrix is not positive definite (it has a negative
eigenvalue).
And isSymmetric() also shows it is not symmetric - compare (3,4) and (4,3)
On Tue, Nov 13, 2018 at 5:39 PM Hoffman, Gabriel
wrote:
> My understanding is that a Cholesky decomposition should work on any
>
My understanding is that a Cholesky decomposition should work on any square,
positive definite matrix. I am encountering an issue where chol() fails and
give the error: "the leading minor of order 3 is not positive definite"
This occurs on multiple machines and version of R.
Here is a minimal
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