Is there any theoretical reason that Chol() in R breaks for Hilbert matrix of order greater than 12?
Thanks,
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6$\begingroup$ en.wikipedia.org/wiki/Condition_number $\endgroup$– ZenMay 18, 2013 at 5:36
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2 Answers
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Both Zen's comment and F.Tusell's answer are correct (+1 to both). Just to add a bit on this: If you look at the associated eigenvalues of Hilbert(13) for a example, the smallest of them is smaller in scale than .Machine$double.eps which is roughly 2.2e-16. Therefore this eigenvalue (and others of even smaller scale) is regarded as a machine zero and leads the decomposition algorithm to treat Hilbert(13+) as non-positive definite matrix and thus not having a Cholesky decomposition. (So actually $H(13-15)$ are "semi-PD" numerically speaking, and for $H(16+)$ you even end up with "negative zeros" eigenvalues).
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Hilbert matrices are of notorious poor condition, which probably account for the failure you are seeing.
