Module Randm

Introduction

Random matrices for testing purposes. I did not figure out the actual distributions the matrices are drawn from.

Reference

Randm.randposdef(d)

Random positive definite matrix of dimension d.

Randm.randstable(d)

Random stable matrix (matrix with eigenvalues with negative real part) with dimension d.

Randm.randunitary(d)

Random unitary matrix of dimension d.

Randm.randorth(d)

Orthogonal matrix drawn according to the Haar measure on the group of orthogonal matrices.

Randm.randnormal(d)

Random normal matrix.