A simple algorithm for generating positive-semidefinite matrices

Question

I want to generate positive random semi-definite matrices. I am looking for an algorithm or more preferably an simple implementation of the algorithm in C, matlab, java or a

Answer 1

You need to be clear on your definition of "random". What are your constraints on the resulting matrix? Do you want the coefficients to be uniformly or normally distributed? Do you want the eigenvalues to have a particular distribution? (etc.)

There are a number of ways to generate positive semidefinite matrices M, including:

1. Given an arbitrary matrix A, compute M = A^TA (constructing a Cholesky decomposition)
2. Given an arbitrary diagonal matrix S with nonnegative diagonal entries, and an orthonormal matrix Q of the same size, compute M = QSQ^T (constructing a singular value decomposition)

For numerical reasons I'd probably choose the second approach by generating the diagonal matrix with desired properties, then generating Q as the composition of a number of Householder reflections (generate a random vector v, scale to unit length, H = I - 2vv^T); I suspect you'd want to use K * N where N is the size of the matrix M, and K is a number between 1.5-3 (I'm guessing on this) that ensures that it has enough degrees of freedom.

You could also generate an orthonormal matrix Q using Givens rotations: pick 2 distinct values from 1 to N and generate a Givens rotation about that pair of axes, with an angle uniformly distributed from 0 to 2 * pi. Then take K * N of these (same reasoning as above paragraph) and their composition yields Q.

edit: I'd guess (not sure) that if you have coefficients that are independently-generated and normally distributed, then the matrix as a whole would be "normally distributed" (whatever that means). It's true for vectors, at least. (N independently-generated Gaussian random variables, one for each component, gives you a Gaussian random vector) This isn't true for uniformly-distributed components.