Nearest positive semi-definite covariance matrix

Version 1.1.0.0 (5.08 KB) by Marco B.
Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite
1.0
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1.1K Downloads
Updated 12 Dec 2011

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The function performs a nonlinear, constrained optimization to find a positive semi-definite matrix that is closest (2-norm) to a symmetric matrix that is not positive semi-definite which the user provides to the function. The optimization is subject to the constraint that the output matrix' diagonal elements as well as its eigenvalues are non-negative.

Cite As

Marco B. (2024). Nearest positive semi-definite covariance matrix (https://www.mathworks.com/matlabcentral/fileexchange/34182-nearest-positive-semi-definite-covariance-matrix), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.1.0.0

Example input matrix added
1.0.0.0