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June 2nd, 2008, 4:53 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 56146

### Specral Decomposition of a large matrix

The first one (rmvnorm from the mvtnorm package) works rather fine for me (could be faster).Here's the output for my case (I also use genPositiveDefMat from clusterGeneration) -- let me know if that helps:
May 26th, 2008, 7:47 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 56146

### Specral Decomposition of a large matrix

<r>I think it's simple to just use Cholesky decomposition for this. Check here for example in R:<URL url="http://astrostatistics.psu.edu/su07/R/mv.htmlStill">http://astrostatistics.psu.edu/su07/R/mv.htmlStill</URL>, R has plenty of packages which have this functionality (generating multivariate Gaus...
May 26th, 2008, 12:42 pm
Forum: Numerical Methods Forum
Topic: Specral Decomposition of a large matrix
Replies: 10
Views: 56146

### Specral Decomposition of a large matrix

<r>I assume you're using eigen(X), where X is your matrix. Does it help when you set symmetric (also works for Hermitian if the matrix is complex) to true, i.e. eigen(X, symmetric = TRUE)? What is your ultimate goal, by the way? If you need this for the PCA, for example, then perhaps there's a faste...

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