[SciPy-user] About cholesky funtion

[Robert Kern]

li red wrote:
> Hi,
> In my procedure, I use the cholesky(a) function in the 
> scipy.linalg.decomp model. If the max number of row and column in matrix 
> a is less equal 15, cholesky(a) is OK. But when the max number is larger 
> than 15, there will have a error message:
> “File "C:\Python24\Lib\site-packages\scipy\linalg\decomp.py", line 413, 
> in cholesky
>    if info>0: raise LinAlgError, "matrix not positive definite"
> scipy.linalg.basic.LinAlgError: matrix not positive definite”.
> My matrix is a real symmetric matrix and positive definite, so I don’t 
> know why the error emerges. Have there some limits on the number of row 
> and column in a matrix?  the attachment is my code. Please give me your 
> help.

Your 20x20 matrix is not positive definite.

In [4]: numpy.linalg.eigvals(numpy.array(r2))
Out[4]:
array([  7.72597025e+00,   3.54906260e+00,   2.48954386e+00,
          2.02734388e+00,   1.35138284e+00,   8.68691981e-01,
          5.44877668e-01,   5.97051355e-01,   3.35814212e-01,
          2.38247257e-01,   1.40268138e-01,   1.15689284e-01,
          1.60566735e-02,   1.08883148e-08,   8.16773522e-09,
         -9.54799978e-09,  -3.75866766e-09,  -1.92201032e-09,
          1.99914405e-09,   2.30997213e-09])

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless enigma
  that is made terrible by our own mad attempt to interpret it as though it had
  an underlying truth."
   -- Umberto Eco