R/posdef.R

In pderdeyn/Stats230pieter: What the Package Does (One Line, Title Case)

#' Generate random positive definite matrix
#'
#' @description From R Varadhan (https://stat.ethz.ch/pipermail/r-help/2008-February/153708)
#' @param n dimension
#' @param ev eigenvalues (optional)
#' @return positive definite matrix
#' @export
posdef <- function (n, ev = runif(n, 0, 10))
{
  Z <- matrix(ncol=n, rnorm(n^2))
  decomp <- qr(Z)
  Q <- qr.Q(decomp)
  R <- qr.R(decomp)
  d <- diag(R)
  ph <- d / abs(d)
  O <- Q %*% diag(ph)
  Z <- t(O) %*% diag(ev) %*% O
  return(Z)
}