Checking whether a matrix is SPD

check if matrix is positive definite matlab
how to check if a matrix is positive semidefinite
positive definite matrix
positive definite matrix calculator
non symmetric positive definite matrix
positive definite matrix invertible
product of positive definite matrices
covariance matrix positive definite

What will be the quickest (run time) way to check whether a matrix is symmetric positive definite in Matlab? I have run this test for a large number of sparse matrices whose size (dimension) varies from 10000 to 100000?

Edit:

Cholesky is exorbitantly costly for my purpose. I need a dirty check first if it gives an indication that matrix might be spd then I might check only those matrix more reliably using CHOL

As stated here, you can use chol function to check whether a matrix is PD.

The CHOL function provides an optional second output argument "p" which is zero if the matrix is found to be positive definite. The CHOL function will return an error if it is only provided with a single output argument, and is also given a matrix that is not positive definite. NOTE: CHOL expects its input matrix to be symmetric and only looks at the upper triangular portion of the matrix.

As for symmetry, you can use the following function:

issym = @(m) isequal(tril(x), triu(x)');

Linear Algebra: Positive Semidefinite Matrices, How do you check if a matrix is positive definite in Matlab? A matrix is negative definite if its k-th order leading principal minor is negative when is odd, and positive when is even. A matrix is positive semidefinite if and only if it arises as the Gram matrix of some set of vectors. In contrast to the positive definite case, these vectors need not be linearly independent.

I think this is a non-trivial problem to do it efficiently. The Cholesky algorithm will fail if the matrix is not positive definite, so it may be best to implement oneself, which would also have the advantage that one would have control over what to do when the algorithms fails because the input isn't positive definite. I use C# rather than Matlab for my mathematical programming, and my Cholesky implementation is only a handful of lines, so it's not difficult. If you use someone else's algorithm then depending on how it's implemented, if you feed in a non-symmetric matrix you may get misleading results, because some implementations assume that the matrix is symmetric. The only quick pre-test that I can think of would be to check the matrix trace, which will be positive if the matrix is SPD.

How do I determine if a matrix is positive definite using MATLAB , These matrices are called (strictly) diagonally dominant. The standard way to show they are positive definite is with the Gershgorin Circle  For a given data, Co-variance matrix is SPD. Co-variance matrix is a important metric, see this excellent post for intuitive explanation. The quadratic form 1 2x⊤Ax − b⊤x + c is convex, if A is SPD. Convexity is a nice property for a function that can make sure the local solution is global solution.

I think you may have a look at the eigenvalues of your matrix, and check whether they are all distinct and real valued.

You may, therefore, think to call eig function as follows:

[V,D] = eig(A)

I hope this helps

A practical way to check if a matrix is positive-definite, One way to tell if a matrix is positive definite is to calculate all the eigenvalues and just check to see if they're all positive. The only problem with this is, if you've​  I will utilize the test method 2 to implement a small matlab code to check if a matrix is positive definite.The test method 2 relies on the fact that for a positive definite matrix, the determinants of all upper-left sub-matrices are positive.The following Matlab code uses an inbuilt Matlab function -‘det’ – which gives the determinant of an input matrix.

Regarding the trace test mentioned above: Assume matrix A is:

A =
    1.0000    1.6000
    1.6000    1.0000

Then the

trace(A) is 2 

But the eigenvalues of A are eig(A)

ans =
   -0.6000
    2.6000

Thus the eigenvalues are not all positive. Therefore this matrix is not SPD yet its trace > 0. I suspect, based on this counter example, that the trace test is not conclusive.

[PDF] Positive Definite Matrices, How do I determine if a matrix is positive Learn more about positive, definite, semipositive, chol, eig, eigenvalue MATLAB. If you use someone else's algorithm then depending on how it's implemented, if you feed in a non-symmetric matrix you may get misleading results, because some implementations assume that the matrix is symmetric. The only quick pre-test that I can think of would be to check the matrix trace, which will be positive if the matrix is SPD.

You might be able to thin the field a bit by eliminating some matrices from consideration using Gershgorin's Theorem, used for estimating eigenvalues.

The upshot is that if you sum the absolute values of the elements on each row (other than the one on the diagonal), k, you get a radius, rk. The corresponding eigenvalue must lie within that radius of the value on the diagonal, akk. So, if akk > rk for all k, your matrix is PD. If akk <= rk for some k, your matrix might still be PD because all this means is that one or more of the Gershgorin disks straddles the imaginary axis (or zero) and the actual eigenvalue could be on either side.

Assuming issymmetric(A) succeeds, something like:

r = sum(abs(A),2)-diag(A);
if length(find(r>diag(A))) == 0,
    % No circles cross the origin: A is PD
else
    % A might still be PD: do some other test
end

A quick'n'dirty test of this with matrices M=sprandsym(n,n,d)+c*speye(n,n), some of which are PD and some of which are not (twiddling n, d, and c), seems to indicate that it identifies many, but not all, SPD matrices (as expected), but is very cheap compared to eig() (and its underlying Cholesky) for "large" n. For your particular matrices, it might work or it might not. YMMV, I guess.

I haven't worked out all the details, obviously, but I'm sure you get the idea.

Determine Whether Matrix Is Symmetric Positive Definite, Test method 3: All Positive Eigen Values. If all the Eigen values of the symmetric matrix are positive, then it is a positive definite matrix. A matrix is positive definite if all it's associated eigenvalues are positive. A way to check if matrix A is positive definite: A = [1 2 3;4 5 6;7 8 9]; % Example matrix

Tests for Positive Definiteness of a Matrix – GaussianWaves, You could compute the eigenvalues and check that they are positive. Alternatively, you can compute the Cholesky decomposition instead  A positive definite matrix will have all positive pivots. Only the second matrix shown above is a positive definite matrix. Also, it is the only symmetric matrix. Test method 2: Determinants of all upper-left sub-matrices are positive: Determinant of all \( k \times k \) upper-left sub-matrices must be positive.

How to check if a matrix is positive definite, If A and B are positive definite, then so is A+B . The matrix inverse of a positive definite matrix is also positive definite. The definition of positive definiteness is  The thing about positive definite matrices is xTAx is always positive, for any non-zerovector x, not just for an eigenvector.2 In fact, this is an equivalent definition of a matrix being positive definite. A matrix is positive definite fxTAx > Ofor all vectors x 0. Frequently in physics the energy of a system in state x is represented as

Positive Definite Matrix -- from Wolfram MathWorld, More specifically, we will learn how to determine if a matrix is positive definite or not. Also, we will learn the geometric interpretation of such positive definiteness  Write a C program to enter elements in two matrices and check whether both matrices are equal or not. C program to check whether elements of two matrices are equal or not. Logic to check if two matrices are equal or not in C programming.

Comments
  • cholesky is exorbitantly costly for my purpose. I need a dirty check first if it gives an indication that matrix might be spd then I might check only those matrix more reliably using CHOL
  • If you want a preliminary, dirty test, use the positive-definiteness criterion directly: Check v'Av for a few vector(s) v that make the computation very fast. For some vectors this will amount to checking single elements in the matrix.