Thanks for your reply. To my surprise I can find one more strange behavior of  
my 15X15 matrix "A", that is if I call the function  chol(A) in the terminal it 
decompose the matrix fine without any errors or warnings.
But if I call the function chol() within a function, which I have written in 
order to call the function (contains formula) for optimization routine 
"optim()" and also supplied with the same matrix "A" as argument, the error 
mentioned

> Error in chol.default(M_cov) :
>  the leading minor of order 10 is not positive definite

is surfaced during the function call by optim.

Why the matrix fulfill the symmetric and positive definite for chol() in one 
case but fails in other case when the function chol() is called in other 
function ?

I played around parameters of "optim" function but nothing seems to be working 
and I am confused and I am looking for some hints to introspect the problem 
further.

Regards,
B.Nataraj





-----Original Message-----
From: Bert Gunter [mailto:gunter.ber...@gene.com]
Sent: Thursday, June 14, 2012 6:18 PM
To: Nataraj B (ORLL-Biotech)
Cc: r-help@r-project.org
Subject: Re: [R] Cholesky decomposition error

Your matrix is not symmetric, positive definite. If you don't know
what this means, you shouldn't be using chol()

This may be because it isn't to begin with, or due to numerical error,
it doesn't behave as one in the decomposition. My relative ignorance
of numeric methods for linear algebra prevents me from saying more
than that.

-- Bert

On Thu, Jun 14, 2012 at 4:23 AM,  <nata...@orchidpharma.com> wrote:
> Dear friends,
>
> When I do Cholesky decomposition for a 15x15 matrix using the function 
> chol(), I get the following error for which I do not understand the meaning 
> of the error
>
> Error in chol.default(M_cov) :
>  the leading minor of order 10 is not positive definite
>
> When I searched online for similar error reported earlier I could get few 
> hits but not of much help to resolve my error and one post suggested to use 
> different function called sechol() from accuracy package but that did not 
> work and it leads to different errors. So I want to stick to function chol() 
> itself.
>
> Could you please help me to find where things are going wrong in my matrix?
>
>
> Thanks and regards,
> B.Natarj
>
> ______________________________________________
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--

Bert Gunter
Genentech Nonclinical Biostatistics

Internal Contact Info:
Phone: 467-7374
Website:
http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm

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