is.positive.definite: Positive Definite

In jeksterslabds/jeksterslabRmatrix: Jekster's Lab Matrix Algebra Utilities

Description

Checks if eigenvalues in a square matrix are positive.

Usage

is.positive.definite(X, tol = 1e-08, stop = FALSE)

Arguments

X	Numeric matrix. Symmetric matrix.
tol	Numeric. Tolerance.
stop	Logical. If TRUE, stops and returns an error with any of the following conditions: X is not a square matrix, X is not a symmetric matrix, or X is not a positive definite matrix.

Value

Returns TRUE if the matrix is positive definite, that is, all eigenvalues are positive. Returns FALSE if the matrix is not positive definite, that is, any of the eigenvalues are are less than or equal to zero.

Author(s)

Ivan Jacob Agaloos Pesigan

References

Wikipedia: Definiteness of a Matrix

Examples

Sigma <- matrix(
  data = c(
    225, 112.50, 56.25,
    112.5, 225, 112.5,
    56.25, 112.50, 225
  ),
  ncol = 3
)
is.positive.definite(X = Sigma)

jeksterslabds/jeksterslabRmatrix documentation built on Aug. 4, 2020, 5:18 a.m.