[R] Efficient testing for +ve definiteness

Makram Talih talih at xena.hunter.cuny.edu
Wed Jul 13 21:27:19 CEST 2005

Dear R-users,

Is there a preferred method for testing whether a real symmetric matrix is
positive definite? [modulo machine rounding errors.]

The obvious way of computing eigenvalues via "E <- eigen(A, symmetric=T,
only.values=T)$values" and returning the result of "!any(E <= 0)" seems
less efficient than going through the LU decomposition invoked in
"determinant.matrix(A)" and checking the sign and (log) modulus of the

I suppose this has to do with the underlying C routines. Any thoughts or

Many Thanks,

Makram Talih

Makram Talih, Ph.D.
Assistant Professor
Department of Mathematics and Statistics
Hunter College of the City University of New York
695 Park Avenue, Room 905 HE
New York, NY 10021

Website: http://stat.hunter.cuny.edu/talih
E-mail: makram.talih at hunter.cuny.edu
Tel: 212-772-5308
Fax: 212-772-4858

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