Monday, 15 April 2013

Error using Chol decomposition on positive definite matrix -



Error using Chol decomposition on positive definite matrix -

i have next 2 2x2 matrices:

a = [0.0087 0.0368; -0.0368 0.0087]

b = [1.5653 2.0499; -2.0499 1.5653]

i have checked hermitian part of each of matrices positive definite:

eig(0.5*(a+a'))>0

so don't know why using chol(a) returns error saying matrix must positive definite.

am missing something?

matrix decomposition

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