![]() ![]() ![]() ![]() It actually failed completely on most of my test cases, and it was not as fast as I would like, using an optimization. While this usually almost works, it could be better. I see the question come up every once in a while, so I looked in the file exchange to see what is up there. A solution is to find the NEAREST matrix (minimizing the Frobenius norm of the difference) that has the desired property of being SPD. So mvnrnd will fail in that case.īut sometimes, it appears that users end up with matrices that are NOT symmetric and positive definite (commonly abbreviated as SPD) and they still wish to use them to generate random numbers, often in a tool like mvnrnd. That is, when you are trying to use a covariance matrix in a tool like mvnrnd, it makes no sense if your matrix is not positive definite. This tool saves your covariance matrices, turning them into something that really does have the property you will need. ![]()
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