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Cholesky and non-definite


From: E. Joshua Rigler
Subject: Cholesky and non-definite
Date: Thu, 18 Nov 2004 12:33:39 -0700

I'm getting an error from the cholesky function (chol.oct) about a
non-positive definite matrix, even though I check the matrix with
isdefinite.m beforehand.

This happens with both the default and octave-forge chol.oct.  I looked
at the source code briefly, and chol.cc calls a function called "fact"
that returns a variable called "info", which when non-zero apparently
means the matrix is not positive definite.

1) Can someone point me to the source code that contains the function
"fact", so that I can see how it determines whether or not a matrix is
positive definite?

2) Is there a tolerance I can specify for the isdefinite.m function that
will ensure that I always pass a suitably positive definite matrix to
the chol.oct function?

Thanks.

-EJR



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