MATLAB: Positive definite solution

eigenvaluespositive definite solution

i need to solved for different values of gama until its lowest value, which gives a positive definite solution for P is found, so i am using all(eig(P)>0) like the equation below:
is this right?
gama=100000;
for i=1:2000;
        P = inv(inv(P)+M'*inv(R)*M-gama^(-2)*eye(4));
        E=eig(P_cov);
        if all(eig(P))>0)  %%(all eigenvalues must be positive)
          gama=gama/2;
        else
            break;      
        end
   end
P = inv(inv(P)+M'*inv(R)*M-gama^(-2)*eye(4));
is this correct?

Best Answer

If the eigenvalues are all positive, you change gama, exiting the loop when they are not all positive. That means that at the end the gama you get out will be such that the eigenvalues are not all positive. This does not satisfy the stated conditions.
Related Question