# chol() returns error even the matrix is positive definite.

4 views (last 30 days)
Hung Dao on 6 Dec 2022
Edited: Bruno Luong on 9 Dec 2022
I have a matrix , where I is a identity matrix and B is a matrix. It is clear that M is a positive definite matrix. However, I am facing a situation in which the Matlab Cholesky decomposition function
chol(M);
returns an error stating that M must be positive definite. I examine matrix B and realise that it's elements are pretty small, resulting in the elements in matrix are extreme large in magnitude (the magnitudes are about e+15 to e+17).
Any advice/suggestion how to handle this issue is much appreciated !
Update on 9 Dec 22:
To help explaning the issue more cleary, I attached the data containing the matrix. Please load the data 'example.mat' and run the code below
[p, r] = size(B);
B1 = d.\B;
z1 = z./d;
z2 = B1'*z1;
R = chol(eye(r) + B1'*B1);
##### 2 CommentsShowHide 1 older comment
Hung Dao on 9 Dec 2022
Thank you for your comment. My apologies for my late reply as I am travelling. You are right. Matrix B is quite a big matrix (it has the size of ). Many of the elements are small (23,036 entries are smaller than 1e-1) but I do realise that B doeve has some very large elements (26 elements are greater than 1e+6 with the maximum is about 1e+9).
I attached the data and the code. Hopefully it helps explain my issue better.
Thank you for answering my question. I appreciate it !

Bruno Luong on 9 Dec 2022
Edited: Bruno Luong on 9 Dec 2022
This statement
B1 = d.\B;
looks very suspecious to me (the .\ operator), if you remove the dot it will work.
Here you do element-wise of d that oscillate to 0, create a huge number in B1 (it can goes to infinity indeed s such noisy data)
[p, r] = size(B);
B1 = d\B;
R = chol(eye(r) + B1'*B1);
Now wht you trying to do and implement only you know, but I suspect your code is incorrect for whatever the goal you want to achieve.
##### 2 CommentsShowHide 1 older comment
Bruno Luong on 9 Dec 2022
Edited: Bruno Luong on 9 Dec 2022
Only you know what is correct, but your d looks like this It looks like it contains noise close to 0 and it cross randomly 0 mny time. 1./ d.\1 is then randomy big. It that make sense for you then OK, but don't expect getting anything meaningful from that.
B1'*B1 have condition number and large element of the order of probably 1e20. Add eye(r) to it is meaning less, doing cholesky doesn't make any sense numerically. Your code won't produce anything usuful but gardebage with such data.

Askic V on 6 Dec 2022
Edited: Walter Roberson on 7 Dec 2022
Without actual code it is very hard to know for sure, but using chol() function in Matlab is actually a preferred way to test if the matrix is positive definite.
For me, it is very hard to understand how values of B'*B can be extremly large if values of B are small. Something is wrong. Please have a look at the example:
B = randn(3,3)*1e-6;
C = B'*B
C = 3×3
1.0e-11 * 0.3916 0.0891 -0.0314 0.0891 0.0303 -0.0417 -0.0314 -0.0417 0.1399
max(C(:))
ans = 3.9156e-12
min(C(:))
ans = -4.1702e-13
Askic V on 9 Dec 2022
I stand corrected. Thank you Bruno.