Question

I want to generate positive random semi-definite matrices. I am looking for an algorithm or more preferably an simple implementation of the algorithm in C, matlab, java or any language.

Answer 1

1. generate random matrix
2. multiply it by its own transposition
3. you have obtained a positive semi-definite matrix.

Example code (Python):

import numpy as np matrixSize = 10  A = np.random.rand(matrixSize, matrixSize) B = np.dot(A, A.transpose()) print 'random positive semi-define matrix for today is', B