R/util.R

In wenshuoliu/rtest: A testing package for learning R

#'function to generate random positive definite matrice
#'
#'@param n size of the matrix
#'
#'@export
posdefmat <- 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)
}