A random symmetric matrix
, and are independent and uniform on . Find the probability that the symmetric matrix is positive semidefinite.
Fractions, decimals with at least 3 significant digits, and expressions such as sqrt(2)/2, e^-1 or pi/4.
A symmetric matrix is positive semidefinite exactly when , and .
Given , the condition on is .
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Idea. Condition on the diagonal. Both diagonal entries must be nonnegative, and then the off-diagonal entry must be small enough. Each condition is a simple probability.
Step 1: the diagonal. and with probability . Given that, and are uniform on .
Step 2: the off-diagonal. Given and , is uniform on , and has probability (which is at most 1).
Step 3: average. , and for uniform on , . So
Remark. With independent standard normal entries instead, there is no simple closed form; the probability is about .