I have a 1043*261 matrix with very small numbers between 0 and 1, and I calculated 1043*1043 covariance matrix using numpy.cov() function. I tried to run the code a few times and got similar (not exactly the same) covariance matrices, but the elements in the covariance matrices were slightly different by scale of e-7. This sometimes made the covariance matrix non-PSD, which will cause serious problem for me.
Does anyone know why the differences would exist and how to solve it?
Attached are two covariance matrices I got by running the same code twice. If you compare them by element, you will see slight differences:
No. 1
[[ 5.05639177e-06 2.44041401e-06 3.30187175e-06 ..., 1.66634014e-06
4.03972183e-06 1.18433575e-06]
[ 2.44041401e-06 9.67277658e-06 9.04356309e-06 ..., 2.50668884e-06
5.43371939e-06 4.74297546e-06]
[ 3.30187175e-06 9.04356309e-06 2.09334309e-05 ..., 3.13977728e-06
8.69946165e-06 6.15981652e-06]
...,
[ 1.66634014e-06 2.50668884e-06 3.13977728e-06 ..., 4.20175297e-06
4.16076781e-06 1.59827406e-06]
[ 4.03972183e-06 5.43371939e-06 8.69946165e-06 ..., 4.16076781e-06
2.58010941e-05 3.02797946e-06]
[ 1.18433575e-06 4.74297546e-06 6.15981652e-06 ..., 1.59827406e-06
3.02797946e-06 6.60805238e-06]]
No.2
[[ 5.05997030e-06 2.42187179e-06 3.30788097e-06 ..., 1.66495376e-06
4.03676937e-06 1.17413702e-06]
[ 2.42187179e-06 9.60677140e-06 9.05219266e-06 ..., 2.50338648e-06
5.42679569e-06 4.75547515e-06]
[ 3.30788097e-06 9.05219266e-06 2.04172017e-05 ..., 3.13058624e-06
8.67976701e-06 6.28137859e-06]
...,
[ 1.66495376e-06 2.50338648e-06 3.13058624e-06 ..., 4.20175297e-06
4.16076781e-06 1.59827884e-06]
[ 4.03676937e-06 5.42679569e-06 8.67976701e-06 ..., 4.16076781e-06
2.58010941e-05 3.02810307e-06]
[ 1.17413702e-06 4.75547515e-06 6.28137859e-06 ..., 1.59827884e-06
3.02810307e-06 6.63834973e-06]]
Thank you very much!
numpy.cov seems to be deterministic:
import numpy
randoms = numpy.random.random((1043, 261))
covs = [numpy.cov(randoms) for _ in range(10)]
all((c==covs[0]).all() for c in covs)
#>>> True
I'd imagine the problem is elsewhere.
Also note that this result holds with numbers 1000th the size
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