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Shuo Han

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California Institute of Technology

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20 Sep 2012 Nearest positive semi-definite covariance matrix Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite Author: Marco B.

This does not need fmincon() and can be done in two lines. Suppose the input matrix is A

[V,D] = eig(A);
A_psd = V * max(D,0) / V;

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