30 Jul 2013
31 Jul 2013)
Finding the nearest positive definite matrix
function Ahat = nearestSPD(A)
% nearestSPD - the nearest (in Frobenius norm) Symmetric Positive Definite matrix to A
% usage: Ahat = nearestSPD(A)
% From Higham: "The nearest symmetric positive semidefinite matrix in the
% Frobenius norm to an arbitrary real matrix A is shown to be (B + H)/2,
% where H is the symmetric polar factor of B=(A + A')/2."
% arguments: (input)
% A - square matrix, which will be converted to the nearest Symmetric
% Positive Definite Matrix.
% Arguments: (output)
% Ahat - The matrix chosen as the nearest SPD matrix to A.
if nargin ~= 1
error('Exactly one argument must be provided.')
% test for a square matrix A
[r,c] = size(A);
if r ~= c
error('A must be a square matrix.')
elseif (r == 1) && (A <= 0)
% A was scalar and non-positive, so just return eps
Ahat = eps;
% symmetrize A into B
B = (A + A')/2;
% Compute the symmetric polar factor of B. Call it H.
% Clearly H is itself SPD.
[U,Sigma,V] = svd(B);
H = V*Sigma*V';
% get Ahat in the above formula
Ahat = (B+H)/2;
% ensure symmetry
Ahat = (Ahat + Ahat')/2;
% test that Ahat is in fact PD. if it is not so, then tweak it just a bit.
p = 1;
k = 0;
while p ~= 0
[R,p] = chol(Ahat);
k = k + 1;
if p ~= 0
% Ahat failed the chol test. It must have been just a hair off,
% due to floating point trash, so it is simplest now just to
% tweak by adding a tiny multiple of an identity matrix.
mineig = min(eig(Ahat));
Ahat = Ahat + (-mineig*k.^2 + eps(mineig))*eye(size(A));