randpds.m

该工具箱是用于统计模式识别的

function [C]=randpds(dim,diagm)
% [C]=randpds(dim,diagm)
%
% RANDPDS generates random positive definite symetric matrix of
%   given dimension.
%
% Input:
%  dim [1x1] given dimension of desired matrix.
%  diagm [1x1] if diagm==1 then then diagonal matrix is generated.
%
% Output:
%  C [dim x dim] positive definite symetric matrix.
%

% Statistical Pattern Recognition Toolbox, Vojtech Franc, Vaclav Hlavac
% (c) Czech Technical University Prague, http://cmp.felk.cvut.cz
% Written Vojtech Franc (diploma thesis)
% Modifications
% 26-feb-2001 V.Franc


if nargin < 2,
  diagm=0;
end


if diagm==0,
  
  %%%%%%%%%%%%%
  % creates randomly lowwer triangual matrix T with non-zero 
  % members on diagonal

  T=rand(dim)*2-1+diag(rand(dim,1)*10-1);
  for j=1:dim-1,
    for i=j+1:dim,
      T(j,i)=0;
    end
  end

  % ensures that any diagonal member woun't be zero
  for i=1:dim,
    while T(i,i)==0,
      T(i,i)=rand(1)*2-1;
    end
  end

  %%%%%%%%%%
  % makes orthonormal R
  R=orth(T);

  %%%%%%%%%%%%%%
  % creates diag. matrix with positive members on diagonal
  D=diag(rand(1,dim));


  %%%%%%%%%%%%%%%%%5
  % creates Random Positive Definite Symetric Matrix
  C=R'*D*R;

  %%%%
  % the following line is due to numerical troubles
  if rank(C)~=dim, C=randpds(dim); end
  
else
  %%%%
  C=diag(rand(dim,1));
end

return